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Journal articles on the topic 'And Forward rates'

Author: Grafiati

Published: 4 June 2025

Last updated: 1 August 2025

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1

Buchardt, Kristian, Christian Furrer, and Mogens Steffensen. "Forward transition rates." Finance and Stochastics 23, no. 4 (2019): 975–99. http://dx.doi.org/10.1007/s00780-019-00397-0.

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2

Jung, Alexander C., and Volker Wieland. "Forward rates and spot rates in the European monetary system — Forward market efficiency." Review of World Economics 126, no. 4 (1990): 615–29. http://dx.doi.org/10.1007/bf02707471.

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3

Stambaugh, Robert F. "The information in forward rates." Journal of Financial Economics 21, no. 1 (1988): 41–70. http://dx.doi.org/10.1016/0304-405x(88)90031-1.

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4

Wolff, Christian C. P. "Forward foreign exchange rates and expected future spot rates." Applied Financial Economics 10, no. 4 (2000): 371–77. http://dx.doi.org/10.1080/09603100050031499.

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5

Buser, Stephen A., G. Andrew Karolyi, and Anthony B. Sanders. "Adjusted Forward Rates as Predictors of Future Spot Rates." Journal of Fixed Income 6, no. 3 (1996): 29–42. http://dx.doi.org/10.3905/jfi.1996.408183.

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6

Buchardt, Kristian. "Kolmogorov’s forward PIDE and forward transition rates in life insurance." Scandinavian Actuarial Journal 2017, no. 5 (2016): 377–94. http://dx.doi.org/10.1080/03461238.2016.1160255.

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7

Levine, Ross. "The Pricing of Forward Exchange Rates." International Finance Discussion Paper 1987, no. 312 (1987): 1–38. http://dx.doi.org/10.17016/ifdp.1987.312.

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8

BEENSTOCK, MICHAEL. "FORWARD EXCHANGE RATES AND “SIEGEL'S PARADOX”." Oxford Economic Papers 37, no. 2 (1985): 298–303. http://dx.doi.org/10.1093/oxfordjournals.oep.a041688.

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9

Bakshi, Gurdip S., and Atsuyuki Naka. "Unbiasedness of the Forward Exchange Rates." Financial Review 32, no. 1 (1997): 145–62. http://dx.doi.org/10.1111/j.1540-6288.1997.tb00419.x.

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10

Levine, Ross. "The pricing of forward exchange rates." Journal of International Money and Finance 8, no. 2 (1989): 163–79. http://dx.doi.org/10.1016/0261-5606(89)90021-1.

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11

Smith, William T. "Forward exchange rates in general equilibrium." Journal of International Money and Finance 10, no. 4 (1991): 497–511. http://dx.doi.org/10.1016/0261-5606(91)90002-2.

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12

Ilmanen, Antti. "Market Rate Expectations and Forward Rates." Journal of Fixed Income 6, no. 2 (1996): 8–22. http://dx.doi.org/10.3905/jfi.1996.408177.

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13

Chen, George H.-G., and R. T. Rockafellar. "Convergence Rates in Forward--Backward Splitting." SIAM Journal on Optimization 7, no. 2 (1997): 421–44. http://dx.doi.org/10.1137/s1052623495290179.

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14

Norberg, Ragnar. "Forward mortality and other vital rates — Are they the way forward?" Insurance: Mathematics and Economics 47, no. 2 (2010): 105–12. http://dx.doi.org/10.1016/j.insmatheco.2010.07.002.

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15

Brada, Jaroslav. "Use of Forward Interest Rates and Forward Exchange Rates for the Valuation of Currency-Interest Rate Derivatives." Český finanční a účetní časopis 2014, no. 1 (2014): 6–18. http://dx.doi.org/10.18267/j.cfuc.377.

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16

MacDonald, S. Scott, and Scott E. Hein. "Futures rates and forward rates as predictors of near-term treasury bill rates." Journal of Futures Markets 9, no. 3 (1989): 249–62. http://dx.doi.org/10.1002/fut.3990090307.

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17

Kim, Seong Hun, and Dong Se Cha. "Information Content of Implied Forward Exchange Rates." Journal of Derivatives and Quantitative Studies 11, no. 1 (2003): 1–23. http://dx.doi.org/10.1108/jdqs-01-2003-b0001.

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This paper analyzes the information content of the forward exchange rates implied by the interest rate parity, using the Korea and U.S. interest rates and Won/dollar exchange rates observed during the period of March 1991 to December 2002. First, we test the cointegration between implied forward exchange rates and future spot exchange rates to examine their longrun relationship, and find the existence of cointegration. Next, we examine the international Fisher effect and estimate an error correction model for their shortrun relationship. Our analysis supports the international Fisher effect fo

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18

Attouch, Hedy, and Alexandre Cabot. "Convergence Rates of Inertial Forward-Backward Algorithms." SIAM Journal on Optimization 28, no. 1 (2018): 849–74. http://dx.doi.org/10.1137/17m1114739.

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19

Rutkowski, Marek. "Models of forward Libor and swap rates." Applied Mathematical Finance 6, no. 1 (1999): 29–60. http://dx.doi.org/10.1080/135048699334609.

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20

Backus, D. "Predictable changes in yields and forward rates." Journal of Financial Economics 59, no. 3 (2001): 281–311. http://dx.doi.org/10.1016/s0304-405x(00)00088-x.

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21

Egger, Peter, Simon Loretz, Michael Pfaffermayr, and Hannes Winner. "Firm-specific forward-looking effective tax rates." International Tax and Public Finance 16, no. 6 (2009): 850–70. http://dx.doi.org/10.1007/s10797-009-9124-1.

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22

de Kort, J., and M. H. Vellekoop. "Term structure extrapolation and asymptotic forward rates." Insurance: Mathematics and Economics 67 (March 2016): 107–19. http://dx.doi.org/10.1016/j.insmatheco.2015.11.001.

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23

Aggarwal, Raj, Winston T. Lin, and Sunil K. Mohanty. "Are Forward Exchange Rates Rational Forecasts of Future Spot Rates? An Improved Econometric Analysis for the Major Currencies." Multinational Finance Journal 12, no. 1/2 (2008): 1–20. http://dx.doi.org/10.17578/12-1/2-1.

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24

Aggarwal, Raj, and Sijing Zong. "Behavioral Biases in Forward Rates as Forecasts of Future Exchange Rates: Evidence of Systematic Pessimism and Under-Reaction." Multinational Finance Journal 12, no. 3/4 (2008): 241–77. http://dx.doi.org/10.17578/12-3/4-5.

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25

KENEN, PETER B. "Forward Rates, Interest Rates, and Expectations Under Alternative Exchange Rate Regimes." Economic Record 61, no. 3 (1985): 654–66. http://dx.doi.org/10.1111/j.1475-4932.1985.tb02020.x.

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26

McWalter, Thomas A., Erik Schlögl, and Jacques van Appel. "Analysing Quantiles in Models of Forward Term Rates." Risks 11, no. 2 (2023): 29. http://dx.doi.org/10.3390/risks11020029.

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The class of forward-LIBOR market models can, under certain volatility structures, produce unrealistically high long-dated forward rates, particularly for maturities and tenors beyond the liquid market calibration instruments. This paper presents a diagnostic tool for analysing the quantiles of distributions for forward term rates in a displaced lognormal forward-LIBOR model (DLFM). In particular, we provide a quantile approximation that can be used to assess whether the modelled term rates remain within realistic bounds with a high probability. Applying this diagnostic tool (verified using Qu

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27

Imran, Ali Khan, Naseem Muhammad, Ahmad Mubashir, and Khan Azhar. "Exchange Rates Nexus a Technical Approach towards Efficiency." International Journal of Management Sciences and Business Research 7, no. 11 (2018): 191–201. https://doi.org/10.5281/zenodo.3490237.

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The study incorporates the comprehension regarding the Spot rates and forward rates relationship in various time dimensions and furthers the efficiency with the foreign exchange markets of Pakistan. The daily based data has been from State Bank of Pakistan,Business recorder, Yahoo finance, and World Bank websites for the period 2001 to 2015 and further forward rates are used for different time dimensions. The result concludes that spot rate Cannot fully reflect all required information to predict the future market trends and so further the deviation can be minimized using the technical indicat

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28

Ghosh, Dilip K. "Covered arbitrage in foreign exchange markets with forward forward contracts in interest rates." Journal of Futures Markets 18, no. 1 (1998): 115–27. http://dx.doi.org/10.1002/(sici)1096-9934(199802)18:1<115::aid-fut6>3.0.co;2-n.

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29

Ghosh, Dilip K. "Risk-free profits with forward contracts in exchange rates and interest rates." Journal of Multinational Financial Management 7, no. 3 (1997): 253–64. http://dx.doi.org/10.1016/s1042-444x(97)00013-3.

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30

Tomat, Gian Maria. "Term Spreads, Forward Rates and Yield Curve Forecasts." Research in Economics 75, no. 2 (2021): 152–63. http://dx.doi.org/10.1016/j.rie.2021.03.003.

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31

Culbertson, W. Patton, and Faik Koray. "Interest Rates, the Forward Premium, and Unanticipated Money." Southern Economic Journal 53, no. 2 (1986): 393. http://dx.doi.org/10.2307/1059421.

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32

Dutt, Swarna D., and Dipak Ghosh. "Are Forward Rates Free of the Risk Premium?" International Economic Journal 9, no. 3 (1995): 49–60. http://dx.doi.org/10.1080/10168739500000019.

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33

Manzano, Julián, and Jörgen Blomvall. "Positive forward rates in the maximum smoothness framework." Quantitative Finance 4, no. 2 (2004): 221–32. http://dx.doi.org/10.1088/1469-7688/4/2/011.

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34

Sekine, Jun. "Forward LIBOR Rates Models Inferred from Cap-Price." Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications 2000 (May 5, 2000): 101–6. http://dx.doi.org/10.5687/sss.2000.101.

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35

McMillan, David G. "Cointegrating behaviour between spot and forward exchange rates." Applied Financial Economics 15, no. 16 (2005): 1135–44. http://dx.doi.org/10.1080/09603100500359476.

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36

Liu, Nien-Lin, and Maria Elvira Mancino. "Fourier estimation method applied to forward interest rates." JSIAM Letters 4 (2012): 17–20. http://dx.doi.org/10.14495/jsiaml.4.17.

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37

Venkataramanan, R., and S. S. Pradhan. "Achievable Rates for Multiple Descriptions With Feed-Forward." IEEE Transactions on Information Theory 57, no. 4 (2011): 2270–77. http://dx.doi.org/10.1109/tit.2011.2112210.

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38

Rutkowski, Marek. "Dynamics of Spot, Forward, and Futures Libor Rates." International Journal of Theoretical and Applied Finance 01, no. 03 (1998): 425–45. http://dx.doi.org/10.1142/s0219024998000230.

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39

Manzano, Julián, and Jörgen Blomvall. "Positive forward rates in the maximum smoothenss framework." Quantitative Finance 4, no. 2 (2004): 221–32. http://dx.doi.org/10.1080/14697680400000026.

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40

Carriere, Jacques F. "Non-parametric confidence intervals of instantaneous forward rates." Insurance: Mathematics and Economics 26, no. 2-3 (2000): 193–202. http://dx.doi.org/10.1016/s0167-6687(00)00037-8.

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41

Jamshidian, Farshid. "BIVARIATE SUPPORT OF FORWARD LIBOR AND SWAP RATES." Mathematical Finance 18, no. 3 (2008): 427–43. http://dx.doi.org/10.1111/j.1467-9965.2008.00340.x.

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42

Jamshidian, Farshid. "TRIVARIATE SUPPORT OF FLAT-VOLATILITY FORWARD LIBOR RATES." Mathematical Finance 20, no. 2 (2010): 229–58. http://dx.doi.org/10.1111/j.1467-9965.2010.00396.x.

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43

Dahlquist, Magnus, and Gunnar Jonsson. "The information in Swedish short-maturity forward rates." European Economic Review 39, no. 6 (1995): 1115–31. http://dx.doi.org/10.1016/0014-2921(94)00023-s.

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44

Walz, Daniel T., and Roger W. Spencer. "THE INFORMATIONAL CONTENT OF FORWARD RATES: FURTHER EVIDENCE." Journal of Financial Research 12, no. 1 (1989): 69–81. http://dx.doi.org/10.1111/j.1475-6803.1989.tb00102.x.

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45

Lekkos, Ilias. "Distributional Properties of Spot and Forward Interest Rates." Journal of Fixed Income 8, no. 4 (1999): 35–54. http://dx.doi.org/10.3905/jfi.1999.319243.

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46

Callen, Jeffrey L., M. W. Luke Chan, and Clarence C. Y. Kwan. "Spot and Forward Exchange Rates: A Causality Analysis." Journal of Business Finance & Accounting 16, no. 1 (1989): 105–18. http://dx.doi.org/10.1111/j.1468-5957.1989.tb00007.x.

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47

Molinari, Cesare, Jingwei Liang, and Jalal Fadili. "Convergence Rates of Forward–Douglas–Rachford Splitting Method." Journal of Optimization Theory and Applications 182, no. 2 (2019): 606–39. http://dx.doi.org/10.1007/s10957-019-01524-9.

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48

Ielpo, Florian. "Forward Rates, Monetary Policy and the Economic Cycle." Journal of Forecasting 34, no. 4 (2015): 241–60. http://dx.doi.org/10.1002/for.2324.

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49

Jeon, Jongmin, Dongkeon Kim, and Suhan Kim. "Energy Efficient Forward Osmosis to Maximize Dewatering Rates." Membranes 15, no. 6 (2025): 171. https://doi.org/10.3390/membranes15060171.

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Forward osmosis (FO) is a membrane separation process driven by the osmotic pressure difference between a high-salinity draw solution (DS) and a low-salinity feed solution (FS). This pressure-free dewatering method is highly energy efficient, making it suitable for concentration and resource recovery. However, conventional FO systems using series-connected modules suffer from progressive DS dilution and FS concentration, leading to a reduction in the osmotic driving force and thereby limiting the overall performance. To address this issue, we propose a novel hybrid FO module configuration in w

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50

Batlin, Carl A. "Covered arbitrage in foreign exchange markets with forward forward contracts in interest rates: Comment." Journal of Futures Markets 19, no. 1 (1999): 115–20. http://dx.doi.org/10.1002/(sici)1096-9934(199902)19:1<115::aid-fut6>3.0.co;2-j.

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