Lecture 2021-2: Appl. Math. Fin./Computational Finance 2 (14): Convexity Adjustments (1/2)
Channel: finmath
Date: 12/12/2021

Lecture 2021-2: Applied Mathematical Finance / Computational Finance 2: Session 14: Convexity Adjustments (1/2)

- Natural Payoff Units
- Forward Rate Paid in Advance (Forward Rate in Arrears)
- Convexity Adjustment: General Formulation
- Convexity Adjusted Rate