Class 2 (18:00-20:00)

14 Outubro 2013, 18:00 • Raquel M. Gaspar

2 Term Structures (cont.)

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2.4 Theories of the Term Structure

3 Hedging interest rate risk

3.1 Duration

3.2Convexity

4 Examples of Interest Rate Derivatives

4.1 FRAS

4.2 IRS

4.3 CAPs

4.4 Interest Rate Options

4.5 Swaptions

Part II. INTEREST RATE MODELS

  1 Deterministic Interest Rate Models (motivation)

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Class 1 (18:00-20:00)

7 Outubro 2013, 18:00 • Raquel M. Gaspar

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

1. Definitions and Notation

1.1 Zero‐coupon bonds

1.2 From bonds to interest rates

1.3 Continuous and simple interest rates

1.4 Coupon‐bearing bonds

1.5 Yield‐to‐maturity

2 Term Structures

2.1 Types of Term Structures

2.2 Dynamics of the Term Structures

2.3 Stylized Facts

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Class 0 (18:00-19:00)

30 Setembro 2013, 18:00 • Raquel M. Gaspar

Course Presentation

Motivation

Real life applications

Discussion

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