Aula 2 (18-20h, 17/10/2011)

17 Outubro 2011, 18:00 • Raquel M. Gaspar

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

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

10 Outubro 2011, 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

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