Caps and Floors

Course video 16 of 18

We apply what we learnt to price interest rate derivatives. Specifically, we focus on the standard derivatives: interest rate futures, caps and floors, and swaptions. We derive the industry standard Black and Bachelier formulas for cap, floor, and swaption prices. In a case study we learn how to calibrate a stochastic interest rate model to market data.

Acerca de Coursera

Cursos, programas especializados y títulos en línea impartidos por los principales instructores de las mejores universidades e instituciones educativas del mundo.

Join a community of 40 million learners from around the world
Earn a skill-based course certificate to apply your knowledge
Gain confidence in your skills and further your career