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
lecture04_slides

Download Attachments

Something to Say?