Aula 5 - Parte II

22 Novembro 2010, 20:30 • RAQUEL GASPAR

2.4 Market Models of Interest Rate

2.4.1 LIBOR market models

2.4.2 SWAP market models

2.5 Other models of interest rate

Part III. CREDIT RISK MODELS

1. Introduction

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Aula 5 - Parte I

22 Novembro 2010, 18:00 • RAQUEL GASPAR

2.3 Forward rate models

2.3.1The HJM drift condition

2.3.2 The Geometric approach to term structure modeling

 

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Aula prática 5

18 Novembro 2010, 20:30 • CLÁUDIA CATARINA ACÚRCIO DUARTE

Part II. INTEREST RATE MODELS

2 Stochastic Interest Rate Models 

2.2 Short rate models

- Exercícios 

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Aula 4 (parte II)

15 Novembro 2010, 20:30 • RAQUEL GASPAR

2.2 Short Rate Models (cont.)

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

2.2.5 Callibration of CT models

2.2.6 Bonds Options

 

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Aula 4 (parte I)

15 Novembro 2010, 18:00 • RAQUEL GASPAR

  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

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