Lectures related to Basis swap

Explores fixed coupon bonds, floating rate notes, interest rate swaps, pricing models, and market structures.

Explores the LIBOR scandal, including history, swaps, UBS, Citigroup, Tom Hayes, fines, and ethical implications.

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

Explores interest rate swaps, arbitrage, yield curves, and mortgage types.

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

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

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

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