I have great news for everyone interested in Financial Engineering: I have just finalized a free course! After finalizing this course, you will be able to build a multi-asset portfolio consisting of linear products and perform xVA (CVA, BCVA and FVA) and (H)Value-at-Risk computations. A few highlights:
– The course consists of 14 lectures that are divided into 45m-1h15 blocks.
-In total, I have prepared 32 hours of recording, about 550 slides and more than 30 Python codes discussed in the series.
-The course is 100% free, and all the materials (codes, slides) are provided.
-The lectures will be released every Friday.
Enjoy the series!
Lecture 1- Introduction and Overview of the Course
Lecture 2- Understanding of Filtrations and Measures
Lecture 3- The HJM Framework
Lecture 4- Yield Curve Dynamics under Short Rate
Lecture 5- Interest Rate Products
Lecture 6- Construction of Yield Curve and Multi-Curves
Lecture 7- Pricing of Swaptions and Negative Interest Rates
Lecture 8- Mortgages and Prepayments
Lecture 9- Hybrid Models and Stochastic Interest Rates
Lecture 10- Foreign Exchange (FX) and Inflation
Lecture 11- Market Models, Convexity Adjustments and Beyond
Lecture 12- Valuation Adjustments- xVA (CVA, BCVA and FVA)
Lecture 13- Historical VaR, SVaR and Expected Shortfall
Lecture 14- Summary of the Course
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