Stochastic Term Structure Models

24 Outubro 2024, 08:00 • TIAGO MARQUES FARDILHA

Stochastic Term Structure Models - Simulation of CIR and Vasicek models

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Practical class

17 Outubro 2024, 08:00 • TIAGO MARQUES FARDILHA

R script on one-half year ahead simulations, using CIR and assuming all payments at year
end. Same for Vasicek model.

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Stochastic Term Structure Models - No Arbitrage Models

10 Outubro 2024, 08:00 • TIAGO MARQUES FARDILHA

Stochastic Term Structure Models - Modeling a yield curve. No arbitrage models - Ho-Lee and Hull-White models. Simulation of Discrete-time approximation of the CIR model.

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Stochastic Term Structure Models

3 Outubro 2024, 08:00 • TIAGO MARQUES FARDILHA

Stochastic Term Structure Models: Introduction. Equilibrium models - Vasicek and Cox-Ingersoll-Ross models. Modeling a yield curve.

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Practical class

26 Setembro 2024, 08:00 • TIAGO MARQUES FARDILHA

R scripts on cash flow matching and cash flow immunization.

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