This paper studies the hedging effectiveness of interest rate swaps using different reference rates for eliminating interest rate risk from floating rate loans. Two different reference rates are studied. The first is a reference rate whose maturity, ∆, matches the payment interval of the...

This book is a collection of original papers by Robert Jarrow that contributed to significant advances in financial economics. Divided into three parts, Part I concerns option pricing theory and its foundations. The papers here deal with the famous Black-Scholes-Merton model, characterizations...

This paper uses a reduced form credit risk model to determine fair lending rates for micro-finance loans. A fair lending rate is defined to be that rate which makes the loan have a net present value of zero to the lender, after the inclusion of the lender's costs of issuing and monitoring the loan