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Lecture 05Brigo & Mercurio Sections 2.6.1–2.9

Deferred Payoffs

Closing the no-arbitrage chapter: caplets as zero-coupon bond options, deferred payoff valuation, multiple-payment claims under a terminal measure, and foreign-market numeraire change.

Lecture Video

Resources

Text Coverage

Brigo & Mercurio Sections 2.6.1–2.9

Brigo & Mercurio, Interest Rate Models, 2nd ed.