Financial Engineering Course: Lecture 5 part 2/2

Hello everyone,
Today, in the second and the last part of Lecture no. 5, we will focus on interest rate products, like options on Zero-Coupon-Bonds and Caplets/Floorlets. These derivatives will be discussed in the context of the Black-Scholes and the Hull-White models. Finally, we finish this lecture with two exercises!
In the following lecture, using linear interest rates products, we will start building a yield curve!

In today’s lecture, we will cover the following subjects:
– The Hull-White model under the T-Forward Measure
– Options on Zero-Coupon Bond
– Caplets and Floorlets
– Pricing of Caplets/Floorlets Under the HW 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

#ComputationalFinance#Python#QuantitativeFinance#FinancialMathematics#MonteCarloSimulation#OptionPricing#Finance#DerivativePricing#BlackScholes#FreeCourse#FinancialEngineering#Hedging#Simulation#Options#xVA