Programa

Modelos de Taxa de Juro e Risco de Crédito

Doutoramento Bolonha em Matemática Aplicada à Economia e à Gestão

Programa

- Diferentes obrigações e taxa de juros; - Modelos de taxa de juro de curto prazo (short rate models;) - Modelos de taxa forward; - Mudança de numerário e a medida forward; - Modelos de mercado LIBOR e Swap; - Modelos de risco de crédito.

Modelos de Taxa de Juro e Risco de Crédito

Mestrado Bolonha em Matemática Financeira

Programa

Part I. FIXED INCOME MARKETS AND INTEREST RATE RISK 1. Introduction 1.1. Interest Rate Risk 1.2. From bonds to interest rates 2. Term Structure of Interest Rates 3. Hedging interest rate risk 4. Interest Rate Derivatives Part II. INTEREST RATE MODELS 1. Static Interest Rate Models 1.1. Introduction 1.2. Fitting the Term Structure of Interest Rates 2. Stochastic Interest Rate Models 2.1. Continuous Time Finance Recap 2.2. Short‐rate models 2.3. Affine Models of the Term Structure 2.4. HJM model Part III. CREDIT RISK MODELS 1. Introduction 2. Structural Models of Credit Risk 3. Reduced‐form Models of Credit Risk 4. Credit Rating Models 5. Default Correlation Models 6. Recovery Issues Part IV. RISK-NEUTRAL DENSITY FUNCTIONS