Yield curve

Related lectures (32)

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

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

Covers forward contracts, options, hedging, and speculative strategies in derivatives trading.

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

Covers interest rates, inflation impact, real vs nominal rates, and investment decisions.

Explores the Equity Premium Puzzle and its macrofinance implications.

Covers the time value of money, investment decisions, and interest rates.

Introduces derivatives, their value dependencies, historical evolution, and forward contract payoff structures.

Covers Principal Component Analysis for yield curve shape estimation and dimension reduction in interest rate models.

Explores bank balance sheets, risks, and interest rate impact on performance metrics and risks faced by financial institutions.