Financial Engineering Course: Lecture 5 part 1/2

Hello everyone,
Today, in the first part of Lecture no. 5, we will discuss simple interest rate products, like Forward Rate Agreement or Interest Rate Swap. Although the underlying asset is unknown (and stochastic), I will explain why you can price these products without volatility assumptions. Then, in the following lecture, these instruments will be used to build a yield curve!
In today’s lecture, we will cover the following subjects:
– Simple Compounded Forward Rate
– Forward Rate Agreement
– Floating Rate Note
– Interest Rate Swap
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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