Lecture

Interest Rate Derivatives: Caps and Floors

Description

This lecture covers interest rate derivatives focusing on caps and floors, which protect against high and low rates, cap-floor parity, pricing under forward measures, Black's and Bachelier's price formulas, caplets, floors, cap/floor quotes in terms of implied volatilities, and the challenges of matching volatility curves in interest rate models.

In MOOC

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_x5sh3kfn

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Economics

Microeconomics: Financial economics

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