Hello everyone,

Today, in the final part of Lecture no. 4, the dynamics of a yield curve under a short rate model of Hull-White will be discussed. In particular, we will focus on the comparison of a 1-Factor vs 2-Factor Hull-White Model. Finally, I cover the scenarios in which the 2-Factor model must be used, especially in the context of a yield curve evolution in time. We wrap up this lecture with a homework assignment.

In today’s lecture, we will cover the following subjects:

– Limitations of the 1-Factor Model and Yield Curve Dynamics

– Gaussian 2-Factor Model

– Summary of the Lecture + Homework

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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