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. 

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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. 

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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. 

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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. 

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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. 

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