Sumários

(28/10/2008)

28 Outubro 2008, 20:30 • Raquel M. Gaspar

2.2 Short-rate models

  • Interest Rate Trees
  • Single-factor endogenous and exogenous CT models: advantages, disadvantages, callibration and treatability
  • Multi-factor models

(21/10/2008)

21 Outubro 2008, 20:30 • Raquel M. Gaspar

2. Stochastic Interest Rate Models

2. 1. Continuous Time Finance Recap

  • No-Arbitrage in Continuous Time
  • The Change-of-Numeraire Technique
  • The Choice of a Convenient Numeraire
  • The Forward Measure
  • The Fundamental Pricing Formulas

(14/10/2008)

14 Outubro 2008, 20:30 • Raquel M. Gaspar

Part II. INTEREST RATE MODELS

1. Deterministic Interest Rate Models

1.1. Fitting of Interest Rate Term Structures

  • Direct Methods: Bootstraping and Interpolation
  • Indirect Methods: deterministic interest rate models
  • Spline Methods: Polinomial, exponential and B- splines

1. 2. Popular Deterministic Interest Rate Models

  • Nelson-Siegel (1987)
  • Diebold, Piazzesi, and Rudebusch (2005)
  • Björk and Christensen (1999)
  • Bliss (1997)
  • Svensson (1994) and Adjusted Svensson

(07/10/2008)

7 Outubro 2008, 20:30 • Raquel M. Gaspar

3 Hedging interest rate risk

  • Duration
  • Convexity
4 Examples of interest rate Derivatives
  • CAPs
  • Interest rate options

(30/09/2008)

30 Setembro 2008, 20:30 • Raquel M. Gaspar

  • Course Presentation

Part I. INTRODUCTION TO FIXED INCOME MARKETS AND INTEREST RATE RISK

1 Definitions and Notation

  • Zero-coupon bonds
  • From bonds to interest rates
  • Continuous and simple interest rates
  • Coupon-bearing bonds
  • Yield-to-maturity
2 Term Structures
  • Types of Term Structures
  • Dynamics of the Term Structures
  • Stylized Facts
  • Theories of the Term Structure