Grundprinzipien der Finanzmathematik und der Zinsrechnung -- Bewertung von festverzinslichen Finanzinstrumenten -- Ermittlung von Zinsstrukturkurven -- Risiikoanalyse zinstragender Finanzinstrumente -- Forward- und Future-Geschäfte -- Aktienforwards und -futures -- Zinsforwards und -futures --...

Statistical analyses of forward interest rate behavior provide evidence that these rates share a common volatility. We develop a risk-neutral term structure model based on this assumption. The main feature of this model is that each discounted bond price is both an explicit local martingale and...

In this paper we illustrate and explain the relationship between interest rates (or forward rates) and discount factors. We present the forward-discount factor relationship, which is popular and widely used in financial markets for yield curve construction, and derive the exact formulae using a...

Forwards, futures, and swaps are contractual agreements that establish transactions to be executed at a future date. Advantages of these contracts (derivatives) over owning the underlying asset include substantively lower transaction costs, and the possibility of circumventing trading...