Lecture 02Brigo & Mercurio 1.3–1.6
Forward Rates, Swaps, Caps, Floors, and Swaptions
Forward-looking term-structure objects for the course: zero-coupon curve, forward rates, instantaneous forward rates, swaps, caps, floors, and swaptions.
Lecture Video
Text Coverage
Brigo & Mercurio 1.3–1.6
Brigo & Mercurio, Interest Rate Models, 2nd ed.