Conclusions

In this thesis we derived new methods for the pricing of fixed income derivatives, especially for zero-coupon bond options (caps/floor) and coupon bond options (swaptions). These options are the most widely traded interest rate derivatives. In general caps/floors can be seen as a portfolio of zero-coupon bond options, whereas a swaption effectively equals an option on a coupon bond (see chapter (2)). The market of these LIBOR-based interest rate derivatives is tremendous (more than 10 trillion USD in notional value) and therefore accurate and efficient pricing methods are of enormous practical importance.