Interest Rate Models: Introduction

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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.

Interest Rates: Understanding Finance

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

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

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

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.

Equity Premium Puzzle

Explores the Equity Premium Puzzle and its macrofinance implications.

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.

Bank Balance Sheets & Interest Rate Risk

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