Chap 26

Interest Rate Derivatives: The Standard Market Models Chapter 26

The Complications in Valuing Interest Rate Derivatives (page 611) ,[object Object],[object Object],[object Object],[object Object]

Approaches to Pricing Interest Rate Options ,[object Object],[object Object]

Black’s Model ,[object Object],[object Object]

Black’s Model (continued) ,[object Object],[object Object],[object Object],[object Object]

Black’s Model (Eqn 26.1 and 26.2, page 611-612) ,[object Object],[object Object],[object Object],[object Object]

Black’s Model: Delayed Payoff ,[object Object],[object Object],[object Object],[object Object],[object Object]

Validity of Black’s Model ,[object Object],[object Object],[object Object],[object Object]

Black’s Model for European Bond Options ,[object Object],[object Object]

Forward Bond and Forward Yield ,[object Object],[object Object]

Yield Vols vs Price Vols (Equation 26.8, page 617) ,[object Object],[object Object],[object Object]

Theoretical Justification for Bond Option Model

Caps and Floors ,[object Object],[object Object],[object Object]

Caplets ,[object Object],[object Object],[object Object]

Black’s Model for Caps (Equation 26.13, p. 621) ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

When Applying Black’s Model To Caps We Must ... ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

Theoretical Justification for Cap Model

Swaptions ,[object Object],[object Object],[object Object],[object Object]

Black’s Model for European Swaptions ,[object Object],[object Object],[object Object]

Black’s Model for European Swaptions continued (Equation 26.15, page 627) ,[object Object],[object Object]

Theoretical Justification for Swap Option Model

Relationship Between Swaptions and Bond Options ,[object Object],[object Object]

Relationship Between Swaptions and Bond Options (continued) ,[object Object],[object Object],[object Object]

Deltas of Interest Rate Derivatives ,[object Object],[object Object],[object Object],[object Object],[object Object]

Chap 26

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Chap 26