Sumários
Main Structural Features and Results of Affine Models - Spot, forward, volatility and term premia curves.
28 Novembro 2018, 10:00 • Jorge Barros Luis
Main Structural Features and Results of Affine Models - Spot, forward, volatility and term premia curves.
Affine models for the term structure of interest rates - asset pricing fundamentals.
23 Novembro 2018, 11:30 • Jorge Barros Luis
Affine models for the term structure of interest rates - asset pricing fundamentals.
Conclusion of the previous lecture - consumptionn-CAPM model.
Affine models for the term structure of interest rates - asset pricing fundamentals.
21 Novembro 2018, 10:00 • Jorge Barros Luis
Affine models for the term structure of interest rates - asset pricing fundamentals.
Continuous-time short-term interest rate models
16 Novembro 2018, 11:30 • Jorge Barros Luis
Continuous-time short-term interest rate models: single and multi-factor models.
Short-term interest rate models: interest rate trees.
14 Novembro 2018, 10:00 • Jorge Barros Luis
Short-term interest rate models: interest rate trees.