| Article ID: | iaor20013390 |
| Country: | Poland |
| Volume: | 25 |
| Issue: | 6 |
| Start Page Number: | 1233 |
| End Page Number: | 1244 |
| Publication Date: | Jan 1996 |
| Journal: | Control and Cybernetics |
| Authors: | Gtarek Dariusz |
Pricing of interest rate derivative securities is treated. It can be considered as a proposal of unification of the general Heath, Jarrow and Morton framework with the practice of Black formula and Delta hedging. Analytical formulas for European interest rate derivatives and numerical methods for American and exotic products are given.