Concept

Interest rate derivative

Related lectures (32)

Covers swaptions, moneyness, callable bonds, pricing formulas, and implied volatilities.

Covers the fundamentals of interest rates and stochastic models in finance.

Estimating the Term Structure: Exact Methods

Explores exact methods for estimating the term structure in interest rate models, emphasizing the importance of choosing the right discount curve.

Heath-Jarrow-Morton Framework: Interest Rate Models

Explores the Heath-Jarrow-Morton framework for interest rate models and discusses bond price dynamics and a Vasiček short rate model.

Interest Rate Derivatives: Calibration Example

Covers the calibration of interest rate models using a two-factor Gaussian HJM model and the computation of Black and Bachelier cap vegas.

Interest Rates and Contracts: Duration and Convexity

Explores duration and convexity in interest rate models for bond portfolio hedging.

Forward Measures: Interest Rate Models

Explores forward measures, option pricing, and bond option pricing in interest rate models.

Interest Rates and Contracts: Forward & Futures Rates

Explains FRAs, interest rate futures, payoff valuation, and Eurodollar futures.

Interest Rates and Bonds

Explores interest rates, bonds, yield curves, and factors influencing interest rates in reality.

Interest Rate Derivatives: Caps and Floors

Explores interest rate derivatives, specifically caps and floors, cap-floor parity, pricing formulas, and implied volatilities.

Estimating the Term Structure: Bootstrapping Example

Explores bootstrapping to build the term structure from short to long maturities using market data on LIBOR, futures, and swaps.

Rental Property Renovation Analysis

Explores the financial evaluation of rental property renovation scenarios.

Economic Arbitrage: Real Estate MOOC: Soil and Real Estate Economics I

Explores economic arbitrage in real estate decision-making, using practical examples and mathematical notations.

Short Rate Models: Vasiček and CIR

Explores short rate models, including Vasiček and CIR, affine bond prices, and time-inhomogeneous models.

Direct Capitalization: Income Method Simplified

Explores the direct capitalization method based on income, renovation costs, and revenue-expense growth rates.

Estimating the Term Structure: Smoothing Methods

Discusses smoothing methods for estimating a smooth forward curve from market rates, focusing on Nelson-Siegel and Svensson curves.

Leverage Effect in Financing

Explores the leverage effect in financing, showcasing how borrowing money can magnify returns and the importance of considering different interest rates in leverage analysis.

Market Conventions: Day-Count Conventions

Explains market conventions for interest rate models, including day-count conventions and pricing of coupon bonds.

Real Estate Investment Analysis

Explores real estate investment analysis, calculating acceptable prices for buyers and sellers.

Interest Rate Swaps: Theory and Applications

Explores interest rate swaps, arbitrage, yield curves, and mortgage types.