Today, we start with Lecture no. 3 that is focused on the HJM (Heath-Jarrow-Morton) framework. Today’s class aims to learn about the main principles behind the arbitrage-free framework for modelling interest rates.
In modelling the xVA and VaR, we need to specify processes for simulating different risk factors. Using the knowledge from today’s lecture, you will understand how to choose a model for the simulation of interest rates.
In today’s lecture, we will cover the following subjects:
– Equilibrium vs Term-Structure Models
-The HJM Framework
– The Instantaneous Forward Rate
Lecture slides and additional materials you can find in the link in the video’s description.
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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