Hitting the Rate Notes

Bloomberg Markets, July 2009

3 Pages Posted: 6 Sep 2009 Last revised: 15 Feb 2012

See all articles by Mirko Filippi

Mirko Filippi

Bloomberg L.P.

Harvey J. Stein

Bloomberg L.P.; Columbia University - Department of Mathematics

Date Written: July 4, 2009

Abstract

Interest-rate structured products and over-the-counter derivatives are like an immense, dense jungle that's grown from a small bare patch of earth in 30 years. From virtually nothing in the late 1970s, the notional value of interest-rate contracts reached $458 trillion - about eight times the gross domestic product of the world - as of June 2008, according to the Bank for International Settlements.

Here we detail tools and methodologies used for analyzing interest-rate structured products.

Keywords: Structured note, interest rate derivatives, credit risk, exotic interest rate derivatives, derivatives, valuation

JEL Classification: G12, G13

Suggested Citation

Filippi, Mirko and Stein, Harvey J., Hitting the Rate Notes (July 4, 2009). Bloomberg Markets, July 2009. Available at SSRN: https://ssrn.com/abstract=1468058

Mirko Filippi

Bloomberg L.P. ( email )

731 Lexington Avenue
New York, NY 10022
United States

Harvey J. Stein (Contact Author)

Bloomberg L.P. ( email )

731 Lexington Avenue
New York, NY 10022
United States
212 617 3059 (Phone)

Columbia University - Department of Mathematics ( email )

New York, NY
United States

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
381
Abstract Views
1,641
rank
81,359
PlumX Metrics