Forward rate models

26 Novembro 2012, 21:00 • RENATO FILIPE RIBEIRO FRANÇA

7th exercise class

Exercises 24 (main exercise list) and 25.1, 25.2 (Björk)

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Aula 6 (18.00-20.30h)

26 Novembro 2012, 18:00 • Raquel M. Gaspar

Part II. INTEREST RATE MODELS

2 Stochastic Interest Rate Models 

2.3 Forward rate models

2.4 Market models of interest rates

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pricing of bond options

22 Novembro 2012, 21:30 • RENATO FILIPE RIBEIRO FRANÇA

6th exercise class

Derive the pricing function of bond options

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Short rate models

19 Novembro 2012, 21:00 • RENATO FILIPE RIBEIRO FRANÇA

5th exercise class

Exercises 24.2, 24.5

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Aula 5 (18-20.30h)

19 Novembro 2012, 18:00 • Raquel M. Gaspar

Mini-test 1

Resolução do Mini-Teste 1

2.2 Short Rate Models (cont.)

2.2.4 Modeling the Term Structure: Affine Term Structure Models; Inversion of the Yield Curve

2.2.5 Callibration of CT models

2.2.6 Bonds Options

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