Sumários
Credit risk models
14 Dezembro 2012, 10:00 • João Guerra
Credit risk models.
The Merton model, the two-state model and the Jarrow-Lando-Turnbull model.
Term structure models
7 Dezembro 2012, 10:00 • João Guerra
The CIR model. The Hull & White model.
Limitations of one-factor models.
Multifactor models: example - the 2-factor Vasicek model.
Term structure models.
4 Dezembro 2012, 10:00 • João Guerra
Risk neutral measure in term structure models.
The risk-neutral valuation formula for bond prices.
The market price of risk.
The Vasicek model.
Term structure models
30 Novembro 2012, 10:00 • João Guerra
A examination problem related with delta hedging.
Term structure models: introduction, relationships between interest rates, forward interest rates and bond prices.
Desirable characteristics of term structure models.