Sumários
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.
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.
(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.
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.
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.