Swaptions: Interest Rate Models

Explores interest rate derivatives, specifically caps and floors, cap-floor parity, pricing formulas, and implied volatilities.

Covers the calibration of interest rate models using a two-factor Gaussian HJM model and the computation of Black and Bachelier cap vegas.

Delves into implied volatility, historical volatility, option pricing implications, and various volatility models in financial innovation.

Explores exact methods for estimating the term structure in interest rate models, emphasizing the importance of choosing the right discount curve.

Explores finance principles, interest rates, bond valuation, and sustainable investing.