Lecture Computational Finance 2 / Appl. Math. Fin. 10: Simple Interest Rate Models: Black, Bachelier
Channel: finmath
Date: 16/12/2020

Lecture on Computational Finance 2 / Applied Mathematical Finance and its Object Oriented Implementation. Session 10: Simple Interest Rate Models: Black and Bachelier Model.

A session on some basic analytic valuation models for simple interest rate option.
- Repetition: Equity Black-Scholes model
- Black model for a Caplet and a Swaption
- Bachelier model for a Caplet and a Swaption
- Black and Bachelier model for an Option on the Swap of the Backward Rate