「凸性偏誤」（Convexity Bias），非債券的「凸性因子」（Convexity），來自利率非平行變動對債券價格的影響。對利率交換契約而言，有其特殊意義。是指利用一連串到期日連續的期貨契約，作為評價利率交換契約的模型，卻因為在期貨契約到期前，其隱含利率並不等於遠期利率的情況下，採用未經修正過的模型，將錯誤估算交換契約的價格。而此偏誤值因隨著到期日的增加，或利率的波動增高而逐漸擴大，呈曲線特性，故稱之為「凸性偏誤」（Convexity Bias）。

由於完整資料收集不易，本論文的重心就限於探討美國歷史上，從1994年至1996年間，美國聯邦準備理事會（Federal Reserve Board；FED），第一階段利息大幅變動期間，利率的變動對凸性偏誤的影響，並預測之後利率變動時，對利率交換契約價格的影響。旨在以實證資料作完整分析，希望藉此探討凸性偏誤是否也會因利率變動程度的不同，進而對利率交換契約價格產生不同程度的影響。並進一步利用簡單的模型，推算出準確的遠期利率，作為評價利率交換契約的指標。將來若利率發生變動，交換契約的交易雙方，也能因此得到正確的交換契約價格，進行交易或避險，以減低利率風險可能帶來的損失。

中文部分：
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鄭秉弘 , “歐洲美元期貨對利率交換契約定價與避險之研究” , 淡江大學財務金融研究所碩士論文 , 民國88年6月
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