Concepedia

Forward Rate Pricing

Forward Rate Pricing is a financial valuation method that belongs to the class of arbitrage pricing models, distinguished by its determination of the future interest rate for a forward contract based on the spot rates of different maturities to preclude arbitrage opportunities.

86

Publications

5.5K

Citations

138

Authors

110

Institutions

Publications per year

2017–2026

3

Parents

Publications

86

Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates

Robert J. Shiller, John Y. Campbell, Kermit L. Schoenholtz · Brookings Papers on Economic Activity · 1983 · 442 citations · Full text

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Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation

David Heath, Robert A. Jarrow, A. J. Morton · Journal of Financial and Quantitative Analysis · 1990 · 349 citations

, , +17

A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets

Richard T. Baillie, Tim Bollerslev · Journal of International Money and Finance · 1990 · 298 citations · Full text

, , +15

The information in forward rates

Robert F. Stambaugh · Journal of Financial Economics · 1988 · 276 citations

, , +12

Volatility skews and extensions of the Libor market model

Leif B. G. Andersen, Jesper Andreasen · Applied Mathematical Finance · 2000 · 257 citations

, , +16

1–5 of 86

Authors

138

  1. AP
    Antoon Pelsser

    Maastricht University, Netherlands

    4 publications · 100 citations

    4

    h-index

  2. RR
    Riccardo Rebonato

    University of Oxford, United Kingdom

    3 publications · 129 citations

    3

    h-index

  3. FM
    Fabio Mercurio

    Bloomberg (United States), United States

    3 publications · 123 citations

    3

    h-index

  4. PG
    Paul Glasserman

    Columbia University, United States

    3 publications · 127 citations

    3

    h-index

  5. PR
    Peter Ritchken

    Case Western Reserve University, United States

    3 publications · 69 citations

    3

    h-index

1–5 of 138

Institutions

110

  1. National Bureau of Economic Research

    Cambridge, United States

    7 h-index

    11 publications

    425 citations

  2. Duke University

    Durham, United States

    3 h-index

    4 publications

    387 citations

  3. Columbia University

    New York, United States

    3 h-index

    4 publications

    407 citations

  4. Maastricht University

    Maastricht, The Netherlands

    3 h-index

    3 publications

    48 citations

  5. Michigan State University

    East Lansing, United States

    3 h-index

    4 publications

    817 citations

  6. University of Toronto

    Toronto, Canada

    3 h-index

    5 publications

    182 citations

  7. Norwegian Computing Center

    Oslo, Norway

    2 h-index

    4 publications

    127 citations

  8. New York University

    New York, United States

    2 h-index

    3 publications

    107 citations

1–8 of 110

Venues

  1. SSRN Electronic Journal

    Repository · 15 publications · 475 citations

    12

    h-index

  2. The Journal of Finance

    5 publications · 220 citations

    5

    h-index

  3. Journal of Financial Economics

    4 publications · 526 citations

    4

    h-index

  4. International Journal of Theoretical and Applied Finance

    IJTAF · 4 publications · 123 citations

    4

    h-index

  5. Quantitative Finance

    4 publications · 151 citations

    4

    h-index

1–5