Estimating the Term Structure: Smoothing Methods

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Principles of Finance: Interest Rates and Bond Valuation

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

Understanding Interest Rates: Term Structure and Yield Curve

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

Interest Rates: Term Structure and Valuing Bonds

Explores interest rates, term structures, bond valuation, and credit risk impact on bond prices.

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.

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.

Understanding the Yield Curve

Explores the yield curve's significance in predicting economic trends and recessions based on the relationship between short- and long-term Treasury bond yields.

Estimating the Term Structure: Bootstrapping Example

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

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 Rate Models: Introduction

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