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Lecture
Interest Rate Models: Introduction
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Related lectures (35)
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.
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.
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.
Stochastic Calculus: Interest Rate Models
Provides an overview of stochastic calculus and its applications in interest rate models and financial modeling.
Forward Measures: Interest Rate Models
Explores forward measures, option pricing, and bond option pricing in interest rate models.
Swaptions: Interest Rate Models
Covers swaptions, moneyness, callable bonds, pricing formulas, and implied volatilities.
Interest Rates and Bonds
Explores interest rates, bonds, yield curves, and factors influencing interest rates in reality.
Interest Rates and Contracts: Duration and Convexity
Explores duration and convexity in interest rate models for bond portfolio hedging.
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.
Coupon Bonds and Swaps
Explores fixed coupon bonds, floating rate notes, interest rate swaps, pricing models, and market structures.
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.
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.
Liquidity Risk and Deposit Contracts in Banking
Discusses liquidity risk, deposit contracts, and their implications for banking stability.
Understanding Financial Intermediation: Course Overview and Key Concepts
Introduces the course on financial intermediation, focusing on the role and risks of financial intermediaries in the economy.
Interest Rates and Contracts: Forward & Futures Rates
Explains FRAs, interest rate futures, payoff valuation, and Eurodollar futures.
Bank Lending: Credit Risk and Market Dynamics
Examines bank lending and credit risk, focusing on commercial real estate challenges and the dynamics of loan pricing and relationship banking.
Interest Rate Derivatives: Caps and Floors
Explores interest rate derivatives, specifically caps and floors, cap-floor parity, pricing formulas, and implied volatilities.
Market Conventions: Day-Count Conventions
Explains market conventions for interest rate models, including day-count conventions and pricing of coupon bonds.
Interest Rate Swaps: Theory and Applications
Explores interest rate swaps, arbitrage, yield curves, and mortgage types.
Arbitrage with Value: Real Estate Economics I
MOOC: Soil and Real Estate Economics I
Explores arbitrage with value in real estate economics, covering future prices, inflation, and interest rates.
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