Black model

Related lectures (9)

Covers swaptions, moneyness, callable bonds, pricing formulas, and implied volatilities.

Covers the binomial model for asset pricing, including options pricing and convergence to the Black-Scholes model.

Explores the Black-Scholes formula for option pricing and risk-neutral pricing in financial economics.

Explores interest rate derivatives, specifically caps and floors, cap-floor parity, pricing formulas, and implied volatilities.

Delves into implied volatility, historical volatility, option pricing implications, and various volatility models in financial innovation.

Covers piecewise linear payoffs, types of contracts, binomial model, and trading strategies.

Explores asset pricing theorems and the Black-Scholes formula derivation in discrete time economies.

Covers the calibration of interest rate models using a two-factor Gaussian HJM model and the computation of Black and Bachelier cap vegas.

Covers the concept of multiperiod binomial pricing and the Black-Scholes formula.

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