Sumários

Discussion of exercises and problems

25 Novembro 2025, 11:30 • João Guerra

Structure of the written exam and of the computational exam.
Discussion of exam exercises and problems.

Jarrow-Turnbull-Lando model

24 Novembro 2025, 12:00 • João Guerra

Jarrow-Turnbull-Lando model for credit risk. 

Discussion of exercises on credit risk. 

Credit risk models

18 Novembro 2025, 11:30 • João Guerra

Introduction to credit risl models. 

Structural models versus reduced form models. Intensity based models. 
The Merton model. 
The two-state model with deterministic intensity. 
Example. 

Interest rate models

17 Novembro 2025, 12:00 • João Guerra

Interest rate models: the CIR model, the Hull-white model. 

Models homogeneous in time versus models non-homogeneous in time. 
Limitations of one-factor models. 
Example of a two-factor model: the Vasicek model with two factors. 
Discussion of exercises about term structure models. 

Introduction to term structure models

11 Novembro 2025, 11:30 • João Guerra

Different types of interest rates: definitions and relationships between the different types of interest rates. 

Stochastic models for short rates and bond prices under the measure P and under the measure Q. The market price of risk for bonds. 
The Vasicek model: properties, bond prices formulas. 
Options over bonds in the Vasicek model.