FIXED INCOME MARKETS AND INTEREST RATE MODELS - Exercises

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

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INTEREST RATE MODELS - Exercises

27 Outubro 2011, 20:30 • RENATO FILIPE RIBEIRO FRANÇA

• Solved Exercises from "Arbitrage Theory" book: 22.1, 22.2, 22.3, 22.5

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INTEREST RATE MODELS - Exercises

24 Outubro 2011, 20:30 • RENATO FILIPE RIBEIRO FRANÇA

• Exercises solved in class from course exercise list: 17, 18, 19, 20

 

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Aula 3 (24/10/2011, 18-20h)

24 Outubro 2011, 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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FIXED INCOME MARKETS - Exercises

17 Outubro 2011, 20:30 • RENATO FILIPE RIBEIRO FRANÇA

• Extra Exercise solved in class about Fixed Income markets, in particular, to understand the relation between flat TS and spot and forward rates; Duration Hedging
• Exercises solved in class from course exercise list: 4, 6, 9

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