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| The Stochastic Behavior of Interest Rates Presentation of a nonlinear, multifactor model of interest rate movements. | |
| A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk Presentation of a model to estimate the drift and diffusion of the short rate and the market price of interest rate risk. | ||
| Bond Pricing and Interest Rates Lecture slides from Professor Schwert of the University of Rochester, New York. | ||
| Theory and Practice of Interest Rate Option Pricing In this article, Dr. Guy Kamagne and Dr. Risto Lehtinen from Trema take a closer look at the thoery and practice of IR-option pricing. | ||
| Predictable Changes in Yields and Forward Rates Illustrates that models with negative factors come closer to accounting for the properties of interest rates. By David Backus, Silverio Foresi, Abon Mozumdar and Liuren Wu 2000. Requires Acrobat Reader. | ||
| Introduction to Swaps An introduction to swap transactions in general, and interest rate, equity and commodity swaps in particular. | ||
| Introduction to Models of Interest Rate Movements An slideshow that introduces various interest rate models. | ||
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