Concept

Yield curve

Related lectures (32)

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.

Principles of Finance: Interest Rates and Bond Valuation

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

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: Smoothing Methods

Discusses smoothing methods for estimating a smooth forward curve from market rates, focusing on Nelson-Siegel and Svensson curves.

Global Bonds: Yield Curve and Portfolio Strategies

Explores global bond markets, analyzing yield curve dynamics, value, and momentum strategies for bond portfolio management.

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.

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.

Tokenizing Future Yield

Covers the concept of tokenizing future yield and integrating a market for it.

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.

Introduction to Derivatives

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

Interest Rate Swaps: Theory and Applications

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

Interest Rates: Understanding Finance

Covers interest rates, inflation impact, real vs nominal rates, and investment decisions.

Equity Premium Puzzle

Explores the Equity Premium Puzzle and its macrofinance implications.

Principles of Finance: Time Value of Money and Investment Decisions

Covers the time value of money, investment decisions, and interest rates.

Introduction to Derivatives

Introduces derivatives, their value dependencies, historical evolution, and forward contract payoff structures.

Estimating the Term Structure: Principal Component Analysis

Covers Principal Component Analysis for yield curve shape estimation and dimension reduction in interest rate models.

Bank Balance Sheets & Interest Rate Risk

Explores bank balance sheets, risks, and interest rate impact on performance metrics and risks faced by financial institutions.