Interest Rate Derivatives
Conroy, Robert M.
Interest Rate Derivatives
F-1431 | Published August 9, 2007 | 27 pages. Technical Note
Collection: Darden School of Business
Product Details
This technical note covers the basics of interest rate derivatives. Specifically, it covers options on bonds, delayed payments, caps, floors, and swaptions. The appropriate option pricing model is presented for each derivative. In addition, the note covers how to estimate the input parameters in each case.
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