Interest Rate Derivatives

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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Year of publication:	[2008]
Authors:	Conroy, Robert M.
Publisher:	[2008]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (28 p)
Series:	Darden Case ; No. UVA-F-1431
Type of publication:	Book / Working Paper
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012770074