Aula 3 (18-20.30h)

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

Part II. INTEREST RATE MODELS

1 Deterministic Interest Rate Models

1.1 Fitting of Interest Rate Term Structures

1.1.1 Direct Methods: Bootstraping and Interpolation

1.1.2 Indirect Methods: deterministic interest rate models

1.1.3 Spline Methods: Polinomial, exponential and B‐ splines

1. 2. Popular Deterministic Interest Rate Models

1.2.1 Nelson‐Siegel (1987)

1.2.2 Diebold, Piazzesi, and Rudebusch (2005)

1.2.3 Björk and Christensen (1999)

1.2.4 Bliss (1997)

 

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Aula 2 (18-20.30h)

29 Outubro 2012, 18:00 • Raquel M. Gaspar

3 Hedging interest rate risk

3.1 Duration

3.2Convexity

4 Examples of Interest Rate Derivatives

4.1 CAPs

4.2 Interest Rate Options

 

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Aula 1 (18.00-20.30h)

22 Outubro 2012, 18:00 • Raquel M. Gaspar

Course Presentation

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

2.4 Theories of the Term Structure

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