Financial Engineering Course: Lecture 4 part 1/2

Hello everyone,
Today, in the first part of Lecture no. 4, we will be discussing the concept of a yield curve. In particular, the dynamics of a yield curve under a short rate model of Hull-White. The construction of a yield curve is one of the essential pillars of this course, and it is a crucial element for every financial institution. In the last part of today’s lecture, I will perform a very interesting experiment where the time-evolution of a yield curve will be presented.
In today’s lecture, we will cover the following subjects:
– Exact Solution for the Hull-White Model
– The Affinity of the Hull-White Model
– Brief Introduction to Yield Curves
– Shapes and Dynamics of Yield Curve
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