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Floating Rate Instruments and Swaps -- 8 Stocks, Stock Markets and Stock Indices -- Part 2 Futures and Options -- 9 Futures and … American Options and Numerical Methods -- 14 *Exotic Options -- 15 Futures Markets (2): Contracts on Interest Rates -- 16 … (equities, interest and exchange rates, indices, bank loans), most vanilla and exotic derivatives (swaps, futures, options …
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Fixed income options contain substantial information on the price of interest rate volatility risk. In this paper, we ask if those options will also provide information related to other moments of the objective distribution of interest rates. Based on dynamic term structure models within the...
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