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- W972959 abstract "This chapter discusses financial engineering methods that use forward loans, Eurocurrency futures, and forward rate agreements (FRAs). Interest rate strategies, hedging, and risk management present more difficulties than FX, equity, or commodity-related instruments for at least two reasons. First of all, the payoff of an interest rate derivative depends, by definition, on some interest rate. In order to price the instrument, one needs to apply discount factors to the future payoffs and calculate the relevant present values. But the discount factor itself is an interest rate-dependent concept. If interest rates are stochastic, the present value of an interest rate-dependent cash flow will be a nonlinear random variable; the resulting expectations may not be as easy to calculate. There will be two sources of any future fluctuations—those due to future cash flows themselves, and those due to changes in the discount factor applied to these cash flows. When dealing with equity or commodity derivatives, such nonlinearities are either not present or have a relatively minor impact on pricing." @default.
- W972959 created "2016-06-24" @default.
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- W972959 date "2008-01-01" @default.
- W972959 modified "2023-09-24" @default.
- W972959 title "Engineering Simple Interest Rate Derivatives" @default.
- W972959 doi "https://doi.org/10.1016/b978-0-12-373574-4.50007-x" @default.
- W972959 hasPublicationYear "2008" @default.
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