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
Text Coverage
Brigo & Mercurio Sections 2.6.1–2.9
Brigo & Mercurio, Interest Rate Models, 2nd ed.