Heath-Jarrow-Morton Framework: Interest Rate Models

About
Privacy
Disclaimer

Graph Chatbot

Related lectures (32)

Page 2 of 4

Principles of Finance: Annuities, Interest Rates, and Present Value

Covers annuities, interest rates, present value, and the time value of money.

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 Bonds

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

Interest Rate Models: Introduction

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

Investment Valuation: Present and Future Value Concepts

Explains present and future value concepts in investment valuation, emphasizing their calculation and significance in financial decision-making.

Market Conventions: Day-Count Conventions

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

Interest Rate Derivatives: Caps and Floors

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

The Term Structure of Interest Rates

Analyzes the pricing of bonds with different maturities and the consumer budget constraint.

Bank Balance Sheets & Interest Rate Risk

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

Financial Decision Making: Cost-Benefit Analysis in Projects

Covers financial decision making through cost-benefit analysis in public projects, focusing on investment viability and the implications of interest rates.