We test seven spot rate and forward rate models with one and two factor forward rate model for interest rate warrants for the period from 1990 to 1993 and identify a one factor forward rate model and two spot rate models with two factors that are not significantly outperformed by any of the other four models.

We test seven spot rate and forward rate models with one and two factor forward rate model for interest rate warrants for the period from 1990 to 1993 and identify a one factor forward rate model and two spot rate models with two factors that are not significantly outperformed by any of the other four models.

The Study on Interest Rate Liberalization and Development of Interest Rate Futures in China;

Introduction of interest rate futures results in some extent dynamic shock and information trans- fering in emerging markets.

A parabolic variational inequality arising from the valuation of American interest rate options;

By applying the variational inequality technique,the behavior of the exercise boundary of the american-style interest rate option is analyzed under the assumption that the interest rates obey a mean-reverting random walk as given by the Vasicek model.

The object of this article is to investigate the question of which interest rate options valuation models are better suited to support the management of interest rate risk.