### Sumários

##### Introduction to credit risk models

15 Dezembro 2020, 11:30 • João Guerra

Introduction to credit risk models.

Structural models, Reduced form models and intensity based models.

The Merton model.

The two-state model with deterministic transition intensity.

Discussion of exercises.

##### Problems and exercises on Term structure models

11 Dezembro 2020, 11:30 • João Guerra

Discussion of problems and exercises on term structure models.

The PDE for Bond pricing.

##### Interest rate models

10 Dezembro 2020, 11:30 • João Guerra

Interest rate models: Vasicek, CIR and Hull-White models.

Exercise.

Example of a two-factor model: the two-factor Vasicek model.

##### Term structure models - introduction

4 Dezembro 2020, 11:30 • João Guerra

Interest rates: different types of interest rates and the relationships between them.

Desirable properties of term structure models.

The dynamics of the short rate under the real world measure P and the dynamics of bond prices under P and under the risk neutral measure Q.

The market price of risk and the risk premium.

Risk neutral valuation formula for bond prices under the risk neutral measure Q.

##### Computational implementation of the Black-Scholes model using R

3 Dezembro 2020, 11:30 • João Guerra

Black-Scholes model: implementation in R of some functions related to Black-Scholes formula, Balck-Scholes pricing by Monte Carlo method, calculation of the greeks and of the implied volatility.