Stochastic Finance - key issues

15 Outubro 2025, 11:00 • Jorge Barros Luis

Stochastic Finance - key issues.

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Implementation of Static Models for the Yield Curve. Hypothesis test to decide between the Nelson-Siegel and the Svensson models. Extensions of the Nelson-Siegel model.

14 Outubro 2025, 12:00 • Jorge Barros Luis

Implementation of Static Models for the Yield Curve. Hypothesis test to decide between the Nelson-Siegel and the Svensson models. Extensions of the Nelson-Siegel model.

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Static Interest Rate Models - Polynomial Splines, Nelson and Siegel and Svensson

8 Outubro 2025, 11:00 • Jorge Barros Luis

Static Interest Rate Models - Polynomial Splines, Nelson and Siegel and Svensson.

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Interest Rate Derivatives - conclusion. Static Interest Rate Models - from bootstrapping to polynomials.

7 Outubro 2025, 12:00 • Jorge Barros Luis

Interest Rate Derivatives - conclusion. Static Interest Rate Models - from bootstrapping to polynomials.

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Duration Hedging and Convexity. FRAs.

1 Outubro 2025, 11:00 • Jorge Barros Luis

Duration Hedging and Convexity. FRAs.

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