Lectures related to Interest rate derivative

Covers swaptions, moneyness, callable bonds, pricing formulas, and implied volatilities.

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

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.

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.

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.

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 and Contracts: Duration and Convexity

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

Forward Measures: Interest Rate Models

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

Interest Rates: Term Structure and Valuing Bonds

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

Interest Rates and Contracts: Forward & Futures Rates

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

Principles of Finance: Interest Rates and Bond Valuation

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

Interest Rates and Bonds

Explores interest rates, bonds, yield curves, and factors influencing interest rates in reality.

Interest Rate Derivatives: Caps and Floors

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

The LIBOR Scandal: Ethics Case Study

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

Financial Decision Making: Cost-Benefit Analysis in Projects

Covers financial decision making through cost-benefit analysis in public projects, focusing on investment viability and the implications of interest rates.

Principles of Finance: Annuities, Interest Rates, and Present Value

Covers annuities, interest rates, present value, and the time value of money.

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.

Rental Property Renovation Analysis

Explores the financial evaluation of rental property renovation scenarios.

Economic Arbitrage: Real Estate

Explores economic arbitrage in real estate decision-making, using practical examples and mathematical notations.

Short Rate Models: Vasiček and CIR

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