Discussion of Exam problems and review of the course

12 Dezembro 2019, 11:30 • João Guerra

General review of the course. 

Discussion of exam problems. 

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Credit Risk models

10 Dezembro 2019, 11:00 • João Guerra

Introduction to credit risk modelling: main concepts. 

Structural models versus Reduced form models. Intensity based models. 

The Merton model: brief description and formula for the probability of default under the equivalent martingale measure. 

The Two state intensity model: model description and formula for bond prices in terms of the recovery rate and the deterministic transition intensity.

The Jarrow-Lando-Turnbull model: model description.

Credit risk model with stochastic transition intensity: brief description. 

 

 

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Term Structure models - Conclusion

5 Dezembro 2019, 11:30 • João Guerra

Short rate models. 

The CIR model. 

The Hull-White model. 

Limitations of one-factor models.

The 2-factor Vasicek model. 

Brief introductions to the PDE approach to bond pricing and to market models.

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Term Structure models

3 Dezembro 2019, 11:00 • João Guerra

The martingale approach to bond pricing. 

Short rate models under the equivalent martingale measure. 

The Vasicek model. 

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Term Structure models - Introduction

28 Novembro 2019, 11:30 • João Guerra

Term structure models: introduction. 

Different types of interest rates. 

The martingale approach to bond pricing. Bond price dynamics under the equivalent martingale approach. The market price of risk and the Girsanov theorem applied to the change of measure. 

 

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