Interest Rate Futures and Convexity Adjustment

Related lectures (32)

Page 1 of 4

Explains FRAs, interest rate futures, payoff valuation, and Eurodollar futures.

Explores forward measures, option pricing, and bond option pricing in interest rate models.

Explores risk-neutral valuation for traded securities, derivatives, hedging, bond pricing, and forward contracts in financial markets.

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

Explores short rate models, including Vasiček and CIR, affine bond prices, and time-inhomogeneous models.

Explores exact methods for estimating the term structure in interest rate models, emphasizing the importance of choosing the right discount curve.

Explores applications of Markov models in finance, focusing on pricing derivatives and risk-neutralization.

Explores duration and convexity in interest rate models for bond portfolio hedging.

Covers swaptions, moneyness, callable bonds, pricing formulas, and implied volatilities.

Explores finance principles, interest rates, bond valuation, and sustainable investing.