Sumários
Stochastic term structure models - simulation
22 Outubro 2026, 08:00 • TIAGO MARQUES FARDILHA
Discrete time approximation of the Vasijek and CIR models. Script example S7 - using the discrete time CIR approximation to make a six months ahead simulation of a change in the yield curve. Check different scenarios on how that change could affect the PV of our liabilites and assets cashflows from a previous example (script S5).
Stochastic Term Structure Models - CIR Model and Vasicek Model
15 Outubro 2026, 08:00 • TIAGO MARQUES FARDILHA
Immunization using Duration and Convexity. Introduction to Term Structure Statistical Models.
8 Outubro 2026, 08:00 • TIAGO MARQUES FARDILHA
Continuation of the practical examples using R on immunization of a liability cash flow using three bonds. Data tidying with R (script r4ds05.R). Introduction to Term Structure Statistical Models: Purpose and theoretical background.
Assets and Liabilities Matching and Immunization
1 Outubro 2026, 08:00 • TIAGO MARQUES FARDILHA
Practical examples using R involving:
- matching assets with liabilities;
- first order immunization (using dollar duration)
- second order immunization (using dollar duration and dollar convexity).
Present Value Sensitivity - Examples
24 Setembro 2026, 08:00 • TIAGO MARQUES FARDILHA
Estimating present value sensitivity using duration and convexity - examples on bonds using R. Properties of duration and convexity. Different concepts of duration.