Lecture 2022-2 (09): Comp. Fin. 2 / Applied Mathematical Finance: Convexity Adjustments (1/3)
Channel: finmath
Date: 2022-11-21

Lecture 2022-2 (09): Computational Finance 2 / Applied Mathematical Finance: Convexity Adjustments (Part 1/3)

- Natural Payoff Units
- Valuation of Payments in Natural Payoff Unit
- Convexity Example: Forward Rate in Arrears
- Convexity Adjustment: General Formulation