BAVIERA, ROBERTO - In: International Journal of Theoretical and Applied … 09 (2006) 04, pp. 577-596
We describe the Bond Market Model, a multi-factor interest rate term structure model, where it is possible to price with Black-like formulas the three classes of over-the-counter plain vanilla options. We derive the prices of caps/floors, bond options and swaptions. A comparison with Libor...