Lecture

Swaptions: Interest Rate Models

Description

This lecture covers swaptions, including payer and receiver swaptions, moneyness, callable bonds, Black's and Bachelier's price formulas, and swaption quotes in terms of implied volatilities. It explains how swaptions can be used to create callable bonds and presents Black's and Bachelier's formulas for swaption pricing.

In MOOC

Instructor

labore magna magna sint

Laboris nisi aute irure voluptate non consectetur. Aliqua ut ullamco consectetur in culpa elit cupidatat ipsum id dolore. Sit in minim exercitation laborum Lorem sint. Lorem enim exercitation proident nulla nisi ipsum consectetur dolore tempor voluptate excepteur.

Official source

https://mediaspace.epfl.ch/media/0_00z1ekvs

About this result

This page is automatically generated and may contain information that is not correct, complete, up-to-date, or relevant to your search query. The same applies to every other page on this website. Please make sure to verify the information with EPFL's official sources.

Ontological neighbourhood

Economics

Microeconomics: Financial economics

Related lectures (38)

Graph Chatbot

Chat with Graph Search

Ask any question about EPFL courses, lectures, exercises, research, news, etc. or try the example questions below.

DISCLAIMER: The Graph Chatbot is not programmed to provide explicit or categorical answers to your questions. Rather, it transforms your questions into API requests that are distributed across the various IT services officially administered by EPFL. Its purpose is solely to collect and recommend relevant references to content that you can explore to help you answer your questions.