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Interest Rate Futures and Convexity Adjustment
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Related lectures (32)
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Short Rate Models: Vasiček and CIR
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Explores exact methods for estimating the term structure in interest rate models, emphasizing the importance of choosing the right discount curve.
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Explores the Heath-Jarrow-Morton framework for interest rate models and discusses bond price dynamics and a Vasiček short rate model.
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Estimating the Term Structure: Smoothing Methods
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Market Conventions: Day-Count Conventions
Explains market conventions for interest rate models, including day-count conventions and pricing of coupon bonds.
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Applications: Markov Models and Pricing
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Explores applications of Markov models in finance, focusing on pricing derivatives and risk-neutralization.
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Explores interest rates, term structures, bond valuation, and credit risk impact on bond prices.
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