The continuously compounded rate inferred for an infinitesimal investment interval at future maturity T, as seen at time t. For a unit-face-value zero-coupon bond, P(t,T)=exp(−∫tTf(t,u)du) and the short rate is f(t,t).
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- Exact forward-curve fit in the Hull-White model
- Forward-curve calibration of a shifted Brownian short rate
- Gaussian forward-rate covariance drift restriction
- Gaussian forward-rate field
- Gaussian short-rate model with a deterministic shift
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- Heath-Jarrow-Morton model
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- Past exam of the mathematics course of the University of Cambridge / 2007 / iii / Paper 41 / 6 / Solution
- Past exam of the mathematics course of the University of Cambridge / 2008 / iii / Paper 39 / 6 / ii / Solution
- Past exam of the mathematics course of the University of Cambridge / 2008 / iii / Paper 39 / 6 / i / Solution
- Past exam of the mathematics course of the University of Cambridge / 2009 / iii / Paper 32 / 6 / Solution
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- Past exam of the mathematics course of the University of Cambridge / 2016 / iii / Paper 211 / 2 / c / Solution
- Short rate
- Yield curve
- Zero-coupon yield to maturity
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