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Home › Lectures › Interest rates 4: Vanilla interest rate options
- Probability evolution at information arrival
- Brownian motion and option pricing
- Probability measures: physical and risk neutral
- Interest-rate options, Caplets and Black formula
- Caps, Floors, and Collars. Cap/Floor parity
- Bootstrap of volatility term structure cap volatilities
- Options on swaps (Swaptions)
- Historical and implied volatilities
- Volatility smile
- Caps and floors with digital payoffs or with barriers
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