Forward Measures: Interest Rate Models

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Short Rate Models: Vasiček and CIR

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

Interest Rates and Contracts: Duration and Convexity

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

Introduction to Derivatives

Covers the basics of derivatives, including hedging, leveraging, spreads, payoffs, and pricing models for underlying assets.

Understanding Interest Rates: Term Structure and Yield Curve

Explores interest rates, term structure, and yield curve, illustrating their relation and impact on economic forecasts.

Estimating the Term Structure: Exact Methods

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

Stochastic Simulation: Variance Reduction Techniques

Explores variance reduction techniques in stochastic simulation, emphasizing the use of auxiliary random variables and sample averages to improve efficiency.

Exchange Rates and Asset Returns

Explores the link between exchange rates and asset returns, including nominal and real rates, equilibrium exchange rate, and FX options.

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.

Introduction to Derivatives

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

Interest Rate Futures and Convexity Adjustment

Covers interest rate futures, marking to market, convexity adjustment, and Vasiček model.