Fixed Income Derivatives: Caplets and Floorlets

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From the course by Columbia University
Financial Engineering and Risk Management Part I
1148 ratings
Columbia University

Financial Engineering and Risk Management Part I

1148 ratings
From the lesson
Term Structure Models I
Binomial lattice models of the short-rate; pricing fixed income derivative securities including caps, floors swaps and swaptions; the forward equations and elementary securities.

Meet the Instructors

  • Martin Haugh
    Martin Haugh
    Co-Director, Center for Financial Engineering
    Industrial Engineering & Operations Research
  • Garud Iyengar
    Garud Iyengar
    Professor
    Industrial Engineering and Operations Research Department