Sumários
Exercises and Exam problems
15 Dezembro 2016, 16:00 • João Guerra
Lecture that substitutes the lecture of October, 27.
Exercises.
The students have not attended. This lecture on exercises and exam problems will be repeated in January, 2017, before the final exam.
Exercises and Exam problems
15 Dezembro 2016, 14:30 • João Guerra
Lecture that substitutes the lecture of October, 24.
Exercises and Exam problems.
The students have not attended. This lecture on exercises and exam problems will be repeated in January, 2017, before the final exam.
Credit risk modelling
12 Dezembro 2016, 10:00 • João Guerra
Credit risk modelling: structural models and reduced-form models.
Intensity based models.
The Merton model.
The two-state intensity based model.
The Jarrow-Lando-Turnbull model.
Interest rate models
9 Dezembro 2016, 11:30 • João Guerra
Interest rates models: CIR model, Hull-White model, multi-factor models.
The 2-factor Vasicek model.
Exercises.