Lectures related to Interest Rate Derivatives: Caps and Floors

Financial Innovation: Implied Volatility

Delves into implied volatility, historical volatility, option pricing implications, and various volatility models in financial innovation.

Swaptions: Interest Rate Models

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

Black-Scholes Formula: Risk-neutral Pricing and Option Pricing

Explores the Black-Scholes formula for option pricing and risk-neutral pricing in financial economics.

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.

Forward Measures: Interest Rate Models

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

Applications: Markov Models and Pricing

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

The Black-Scholes-Merton Model

Covers the Black-Scholes-Merton model, dynamics, self-financing strategies, and the PDE.

Multiperiod Binomial Pricing

Covers the concept of multiperiod binomial pricing and the Black-Scholes formula.

The Binomial Model

Covers the binomial model for asset pricing, including options pricing and convergence to the Black-Scholes model.

Financial Market Models: Arbitrage and Completeness

Explores arbitrage-free and complete financial market models, risk-neutral probabilities, structured notes pricing, and option hedging.

Principles of Finance: Options in Corporate Finance

Explores options in corporate finance, covering graphical representations, option pricing, call-put parity, early exercise, and volatility estimation.

Black-Scholes-Merton Model

Covers the Black-Scholes-Merton model, stock dynamics, option pricing, and replicating strategies.

Delta Hedging and the Greeks

Explores the Black-Scholes-Merton model, the Greeks, dynamic hedging, and engineering exposure in derivative pricing.

Options in Corporate Finance

Introduces the principles of options in corporate finance, covering markets, terminology, valuation, and pricing 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.

American Options: Pricing and Strategies

Explores American options, including pricing methods, exercise boundaries, and replicating strategies.

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.

Quantitative Risk Management: Volatility Modeling

Covers volatility modeling in risk management, including ARMA, ARCH, GARCH models, causal representation, and forecasting.

Binomial Pricing and Replication

Explores binomial pricing, replication of payoffs, and interpretation of prices in a risk-neutral world.

Principles of Finance: Efficient Portfolios and Risk Management

Explores efficient portfolios, risk management, and the CAPM model in finance.