Aula 6 (28/11/2011, 18-20h)

28 Novembro 2011, 18:00 • Raquel M. Gaspar

2.3.2 The Geometric approach to term structure modelling

2.4 Market Models of Interest Rate

2.4.1 LIBOR market models

2.4.2 SWAP market models

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Aula 5 (14/11/2011, 18-20h)

14 Novembro 2011, 18:00 • Raquel M. Gaspar

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

2.2.5 Callibration of CT models

2.2.6 Bonds Options

2.3 Forward rate models

2.3.1The HJM drift condition

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Stochastic Interest Rate Models - Exercises

10 Novembro 2011, 20:30 • RENATO FILIPE RIBEIRO FRANÇA

Solved Exercises from "Arbitrage Theory" book: 24.1, 24.6

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Aula 4 (20-22h)

7 Novembro 2011, 20:00 • Raquel M. Gaspar

2. Stochastic Interest Rate Models

2. 1. Continuous Time Finance Recap

2.2 Short ‐ rate models

2.2.1 Interest Rate Trees

2.2.2 Single- factor endogenous and exogenous CT models: advantages, disadvantages, calibration and treatability

2.2.3 Multi ‐ factor models

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

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Mini-Test 1 (18-20h)

7 Novembro 2011, 18:00 • Raquel M. Gaspar

Realização do Mini-teste 1.

Correcção do Mini-teste

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