Stochastic Interest Rate Models. Short Rate Models. Short interest rate models - valuation trees

22 Novembro 2022, 12:00 • Jorge Barros Luis

Stochastic Interest Rate Models. Short Rate Models. Short interest rate models - valuation trees.

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Static Fitting Methods of the Yield Curve: Conclusion. Interest Rate Risk for marked-to-market assets: duration and convexity.

16 Novembro 2022, 12:00 • Jorge Barros Luis

Static Fitting Methods of the Yield Curve: Conclusion. Interest Rate Risk for marked-to-market assets: duration and convexity.

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(Lecture postponed to the 24th Nov, at 11:00 am, room F2-105)

15 Novembro 2022, 12:00 • Jorge Barros Luis

Lecture postponed to the 24th Nov, at 11:00 am and room F2-105.

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Nelson and Siegel Model - conclusion and empirical application. Svensson Model.

9 Novembro 2022, 12:00 • Jorge Barros Luis

Nelson and Siegel Model - conclusion and empirical application. Svensson Model.

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Static Interest Rate Models - Polynomial Methods and Nelson and Siegel model

8 Novembro 2022, 12:00 • Jorge Barros Luis

Static Interest Rate Models - Polynomial Methods and Nelson and Siegel model.

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