4.5b Derivative instruments - interest rate options under Black - convexity and measures
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This paper covers:
- Important numeraires and implications for hedging
- Convexity adjustments for delays and non-natural time lags
- An approximate solution
- A more general solution
- LIBOR-in-arrears instruments
- Constant-maturity instruments
This paper has 17 pages and the Excel has 4 sheets
