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Paper / 2000SMQ / 153658780489408
The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions
Driessen, J.J.A.G. / Klaassen, P. / Melenberg, B.
derivatives / interest ratesResource overview

The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions

Paper2000

by Driessen, J.J.A.G., Klaassen, P., Melenberg, B.

Tags
derivativesinterest ratesoptions hedgingterm structure models

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Suggested foundations for rates and fixed income and options and derivatives pricing. Specialist prerequisites vary by paper.

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  2. DV01, Dollar Duration, and One-Factor Price Sensitivity

    Translate yield movements into first-order price risk.

  3. The Binomial Model

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  4. Market Model and Risk-Neutral Valuation

    Distinguish pricing probabilities from physical forecasts.

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  1. Bootstrapping the Spot Curve from Market Instruments

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  2. The Vasicek Model: Mean Reversion, Affine Bond Prices, and the Gaussian Distribution

    Study a tractable mean-reverting rate model.

  3. The Black-Scholes PDE, Formula and Implied Volatility

    Connect the pricing equation, closed-form value and implied volatility.

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