Sumários

Introduction to Credit Risk Models

7 Dezembro 2022, 11:30 • João Guerra

Introduction to credit risk models. 

Basic concepts. 
Recovery rate and expected loss. 
Structural models versus reduced form models. Intensity based models. 
The two state model with deterministic intensity. 
Exercises. 

Term structure models

6 Dezembro 2022, 11:30 • João Guerra

Interest rate models: Vasicek model, CIR model, Hull-White model.

Limitations of one-factor models. 
The two-factor Vasicek model. 
Exercises. 

Implied volatility, volatility smile and introduction to term structure models

30 Novembro 2022, 11:30 • João Guerra

Implied volatility and volatility smiles: idea and use of fOptions package to calculate implied volatilities and plot the volatility smile.

Term structure models: zero-coupon bond price,  short rate, spot rate, forward rate, intantaneous forward rate curve and relationships between them. 
Desirable properties of term structure models. 
Bond price under the risk neutral measure. The market price of risk. 
The Vasicek model. 

The Greeks

29 Novembro 2022, 11:30 • João Guerra

The Greeks: Delta, Gamma, pho, Vega, Theta, Lambda. 

Definition and use in hedging portfolios. 
R-Scripts for calculating the greeks in the Black-Scholes model. 

Black-Scholes model

22 Novembro 2022, 11:30 • João Guerra

R scripts for Black-Scholes formulas for European vanilla options. 
Black-Scholes PDE derivation. 
Black-Scholes risk-neutral valuation formula. 
Examples: Call option, Binary option.