Sumários
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
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
Stochastic Interest Rate Models - Exercises
10 Novembro 2011, 20:30 • RENATO FILIPE RIBEIRO FRANÇA
Solved Exercises from "Arbitrage Theory" book: 24.1, 24.6
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
Mini-Test 1 (18-20h)
7 Novembro 2011, 18:00 • Raquel M. Gaspar
Realização do Mini-teste 1.
Correcção do Mini-teste