Exercises and credit risk modelling

26 Novembro 2015, 11:30 • João Guerra

Term structure models: exercises.

Credit risk: structural models and intensity based models.

The Merton model, the 2-state intensity based model and the Jarrow-Lando-Turnbull model.

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Term structure models

24 Novembro 2015, 08:00 • João Guerra

The Vasicek model

The Cox-Ingersoll-Ross (CIR) model.

The Hull & White (HW) model.

Limitations of one-factor models.

The 2-factor Vasicek model.

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Term structure models

23 Novembro 2015, 10:00 • João Guerra

Interest rate (term structure) modelling.

Bond prices, Forward rates, intantaneous forward rate curve, Spot rate curve and short rate.

Term structure models: the 8 desirable characteristics of term structure models.

Risk-neutral pricing.

The market price of risk.

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Hedging portfolios

19 Novembro 2015, 11:30 • João Guerra

Hedging portfolios.

The Greeks. Delta-hedging.

Exercises.

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Delta Hedging and the Greeks

17 Novembro 2015, 08:00 • João Guerra

Replicating portfolio.

Delta hedging and Delta hedging portfolio.

The Greeks: the delta and the gamma.

A portfolio with zero delta.

A portfolio with zero delta and zero gamma.

Exercises

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