Forward rate agreement

Related lectures (8)

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

Explores interest rate derivatives, specifically caps and floors, cap-floor parity, pricing formulas, and implied volatilities.

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

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

Explores the convergence proof of Stochastic Gradient Descent with strongly-convex functions and the impact of step-size on convergence properties.

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

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

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

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