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Pricing FX Options Pricing Interest Rate Caps and Floors
Yield Curve Model & Convexity Adjustment
Constructing Black-Derman–Toy (BDT) yield curve model
Valuing interest rate caps, bond options, swaptions, futures
Valuing Bermudan options, interest rate swaps
Comparison of BDT & Black (market) models – Convexity adjustment
Pricing Single-Named CDSs Main Uses of Credit Derivatives
Mertonian/KMV Binomial Models
Jarrow–Turnbull Reduced-Form Model