Lecture Computational Finance 2 / Appl. Math. Fin. 11:Interest Rate Models: Valuation of a Quanto
Channel: finmath
Date: 20/12/2020

Lecture on Computational Finance 2 / Applied Mathematical Finance and its Object Oriented Implementation. Session 11: Simple Interest Rate Models: Valuation of a Quanto

Another session on some basic analytic valuation models for simple interest rate option, this one for a Quanto Caplet. The session illustrates the importance of the choice of numeraire in the derivation of a valuation formula.
- Analytic Valuation of a Quanto Caplet
- Valuation of a Foreign Caplet  under the Black Model
- Forward FX Rate
- Valuation of a Quanto Caplet
- Quanto Adjustment