Jarrow-Lando-Turnbull model. Exercises

13 Dezembro 2018, 11:30 • João Guerra

Credit risk models: the Jarrow-Lando-Turnbull model. 

Discussion of exam problems on credit risk. 

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Credit risk models

10 Dezembro 2018, 11:30 • João Guerra

Default: definition and factors that trigger default. 

Structural models versus reduced form models. Intensity based models. 

The Merton model. First passage models. 

The two-state intensity based model. 

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Term structure models

6 Dezembro 2018, 11:30 • João Guerra

The Vasicek model. 

The CIR model. 

The Hull-White model. 

Limitations of one-factor models. 

Example of a multifactor model: the 2-factor Vasicek model. 

Discussion of an exam problem of term structure models. 

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Term Structure models

3 Dezembro 2018, 11:30 • João Guerra

Term structure of interest rates.

Relationships between interest rates and bond prices.

Desirable characteristics of term structure models.

Risk-neutral pricing, market price of risk and models for the short rate under Q. 

The Vasicek model. 

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Exercises and Exam problems

29 Novembro 2018, 11:30 • João Guerra

Exercises and Exam Problems on the Black-Scholes model. 

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