Interest rates 5: Exotic interest-rate options

  • Exotic caps, floors, and swaptions
  • Swaps with exotic floating-rate legs
  • Commodities and no-arbitrage
  • Numeraires and pricing formulas
  • Stochastic differential equations (SDEs)
  • Partial differential equations (PDEs)
  • Feynman-Kac formula
  • Numerical methods: analytical approximations
lecture05_slides

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