Table of contents : BOOK COVER......Page 1 HALF-TITLE......Page 2 SERIES......Page 3 TITLE......Page 4 COPYRIGHT......Page 5 CONTENTS......Page 6 LIST OF FIGURES......Page 7 LIST OF TABLES......Page 9 LIST OF SYMBOLS......Page 10 PREFACE......Page 12 1 INTRODUCTION......Page 14 Part I THE THEORETICAL VALUATION OF INTEREST RATE DERIVATIVE SECURITIES......Page 19 2 ARBITRAGE OPPORTUNITIES AND THE VALUATION OF CONTINGENT CLAIMS......Page 20 3 AN OVERVIEW OF THE VALUATION OF INTEREST RATE DERIVATIVE SECURITIES......Page 45 4 MODELLING BOND PRICES......Page 51 5 MODELLING THE TERM STRUCTURE OF INTEREST RATES......Page 73 6 NUMERICAL METHODS TO VALUE INTEREST RATE DERIVATIVE SECURITIES......Page 122 Part II EMPIRICAL RESULTS OF THE ESTIMATION OF INTEREST RATE DYNAMICS......Page 153 7 ESTIMATING THE TERM STRUCTURE OF INTEREST RATES: A TIME SERIES ANALYSIS......Page 154 8 ESTIMATING THE TERM STRUCTURE OF INTEREST RATES: A CROSS-SECTIONAL ANALYSIS......Page 164 9 ESTIMATING THE TERM STRUCTURE OF INTEREST RATE VOLATILITIES: PRINCIPAL COMPONENTS......Page 178 10 CONCLUSIONS AND FURTHER RESEARCH......Page 185 REFERENCES......Page 190 INDEX......Page 193