• 1 Introduction
  • 2 Notation
  • 3 Convexity adjusted forward rates
  • 3.1 Libor-in-arrears
  • 3.2 CMS
  • 3.3 Unified approach under the linear rate model
  • 3.4 Comparison study
  • 4 Options on Libor-in-arrears and CMS rates
  • 4.1 Volatility adjustments
  • 4.2 Exact valuation under the linear rate model
  • 4.3 Accuracy study and examples
  • 4.4 Options to exchange interest rates
  • 5 Variable interest rates in foreign currency
  • 5.1 General relationships
  • 5.2 Quanto adjustments
  • 5.3 Quantoed options on interest rates
  • 6 Empirical correlation estimates