Skip to main content
SpringerLink
Log in

The Pricing of Interest Rate Derivatives: Caps/Floors and the Construction of the Yield Curve

  • Conference paper
  • First Online:
Innovations in Smart Cities and Applications (SCAMS 2017)

Part of the book series: Lecture Notes in Networks and Systems ((LNNS,volume 37))

Included in the following conference series:

Abstract

The aim of this paper is to highlight the theoretical foundations of caps and floors that are distinguished among derivatives meeting the requirements of most investors in the financial sphere. Then, the key elements of the calculation were defined: the LIBOR rate and the forward rate. This paper focuses on the construction of the yield curve, a fundamental approach in the analysis of derivatives. After a description of the characteristics of these products, a keen interest was devoted to their valorisation by referring to the model of Black (1976).

This is a preview of subscription content, log in via an institution to check access.

Access this chapter

Log in via an institution
Chapter
USD 29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD 169.00
Price excludes VAT (USA)
  • Available as EPUB and PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD 219.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Institutional subscriptions

Similar content being viewed by others

References

  1. Coqueret, G.: La volatilité implicite, Dalloz (2009)

    Google Scholar 

  2. Gbongue, F., Planchet, F.: Analyse comparative des modèles de construction d’une courbe des taux sans risque dans la zone CIPRES, ISFA : Laboratoire De Science Actuarielle Et Financiere, Université Lyon 1 (2013)

    Google Scholar 

  3. Gupta, A., Subrahmanyam, M.G.: Pricing and hedging interest rate options: evidence from cap–floor markets. J. Bank. Finance 29(2005), 701–733 (2005). https://doi.org/10.1016/j.jbankfin.2004.05.025

    Article  Google Scholar 

  4. Hénot, C., Hull, J., Deville, L., Roger, P.: Options, futures et autres actifs dérivés. Pearson, 6 ème édition (2007). ISBN 978-2-7 440-7179-9

    Google Scholar 

  5. Kosowski, R.L., Neftci, S.N.: Principles of Financial Engineering, 3rd edn. Academic Press, Elsevier, San Diego (2015). ISBN 978-0-12-386968-5

    Google Scholar 

  6. Poulsen, R.: Working with the Cox-Ingersoll-Ross Model. AMS, IMF, UK (2003)

    Google Scholar 

  7. LIBOR rates (USD) (2017). http://fr.global-rates.com

  8. Ribonato, R., McKay, K., White, R.: The SABR/LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest-rate Derivatives. Wiley, Chichester (2006). ISBN 978-0-470-74005-7

    Google Scholar 

  9. Saikak, M., Raouf, M.: Estimation of the term structure of interest rates for Moroccan financial market using vasicek model. Monetary Research Center, Bulgaria, pp. 3–6 (2016). ISSN 2534–9600

    Google Scholar 

  10. Thérond, P.: Génération de scénarios économiques: Modélisation des taux d’intérêt. ISFA, Université Lyon 1 (2013)

    Google Scholar 

  11. Economic and financial website. www.Investopedia.com

Download references

Author information

Authors and Affiliations

  1. Faculty of Science, Ibn Tofail University, Kenitra, Morocco

    Ghizlane Kouaiba

  2. Faculty of Law, Economics and Social Sciences, Mohamed V University, Rabat, Morocco

    Moulay-Driss Saikak

Authors
  1. Ghizlane Kouaiba
    View author publications

    You can also search for this author in PubMed Google Scholar

  2. Moulay-Driss Saikak
    View author publications

    You can also search for this author in PubMed Google Scholar

Corresponding author

Correspondence to Ghizlane Kouaiba .

Editor information

Editors and Affiliations

  1. Computer Sciences Department, Faculty of Sciences and Techniques, Abdelmalek Essaadi University, Tangier, Morocco

    Mohamed Ben Ahmed

  2. Computer Sciences Department, Faculty of Sciences and Techniques, Abdelmalek Essaadi University, Tangier, Morocco

    Anouar Abdelhakim Boudhir

Rights and permissions

Reprints and permissions

Copyright information

© 2018 Springer International Publishing AG

About this paper

Check for updates. Verify currency and authenticity via CrossMark

Cite this paper

Kouaiba, G., Saikak, MD. (2018). The Pricing of Interest Rate Derivatives: Caps/Floors and the Construction of the Yield Curve. In: Ben Ahmed, M., Boudhir, A. (eds) Innovations in Smart Cities and Applications. SCAMS 2017. Lecture Notes in Networks and Systems, vol 37. Springer, Cham. https://doi.org/10.1007/978-3-319-74500-8_89

Download citation

  • DOI: https://doi.org/10.1007/978-3-319-74500-8_89

  • Published:

  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-74499-5

  • Online ISBN: 978-3-319-74500-8

  • eBook Packages: EngineeringEngineering (R0)

Publish with us

Policies and ethics

Search

Navigation