Lectures related to Interest Rate Futures and Convexity Adjustment

Interest Rates and Contracts: Forward & Futures Rates

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

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

Risk-neutral Valuation: Traded Securities

Explores risk-neutral valuation for traded securities, derivatives, hedging, bond pricing, and forward contracts in financial markets.

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.

Short Rate Models: Vasiček and CIR

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

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.

Applications: Markov Models and Pricing

Explores applications of Markov models in finance, focusing on pricing derivatives and risk-neutralization.

Interest Rates and Contracts: Duration and Convexity

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

Swaptions: Interest Rate Models

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

Principles of Finance: Interest Rates and Bond Valuation

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

Interest Rates: Term Structure and Valuing Bonds

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

Interest Rate Derivatives: Caps and Floors

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

Interest Rate Models: Introduction

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

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 Bonds

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

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.

Tokenizing Future Yield

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

Introduction to Derivatives

Covers the basics of derivatives, including hedging, leveraging, spreads, payoffs, and pricing models for underlying assets.

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

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

Leverage Effect in Financing

Explores the leverage effect in financing, showcasing how borrowing money can magnify returns and the importance of considering different interest rates in leverage analysis.