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

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Official source

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

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Economics

Microeconomics: Financial economics

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