Part 1. The Need for Yield Curve Option Pricing Models

1. Definition and Valuation of the Underlying Instruments

2. Exotic Interest-Rate Instruments: Description and Valuation Issues

3. A Statistical Approach to Yield Curve Models

4. Correlation, Average, and Instantaneous Volatilities, and Their Impact on the Pricing of LIBOR Options

5. A Motivation of Yield Curve Models

Part 2. The Theoretical Tools

6. Establishing a Pricing Framework

7. The Conditions of No-Arbitrage

Part 3. The Implementation Tools

8. Lattice Methods

9. The Partial Differential Equation (PDE) Approach

10. Monte Carlo Methods

Part 4. Analysis of Specific Models

11. The CIR and Vasicek Models

12. The Black Derman and Toy Model

13. The Hull and White Approach

14. The Longstaff and Schwartz Model

15. The Brennan and Schwartz Model

16. A Class of Arbitrage-Free Log-Normal Short-Rate Two-Factor Models

17. The Heath Jarrow and Morton Approach

18. The Brace-Gatarek-Musiela/Jamshidian Approach

Part 5. General Topics

19. Affine Models

20. Markovian and Non-Markovian Interest-Rate Models

21. Calibration to Cap Prices of Mean-Reverting Log-Normal Short-Rate Modelsâ€¦read more