Interest Rate Swaps: Theory and Applications

Related lectures (31)

Page 3 of 4

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

Explores the Equity Premium Puzzle and its macrofinance implications.

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

Explores the risk and performance of Confederation bonds, showcasing how changing interest rates can impact bond values.

Explores currency and commodity investments, monetary policy effects, and bond-stock correlations.

Introduces the history and concepts of derivatives, including forward contracts, options, and their use in hedging and speculation.

Explores FX swaps, pricing mechanisms, and FX options, including put and call options, in the foreign exchange market.

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

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

Covers the comparison of income between financial and real estate investments.