Financial Engineering Course: Lecture 6 part 1/3

Hello everyone,
In today’s lecture, we will focus on the building of a yield curve. In every financial institution, a yield curve is a must-have tool used to discount all future cash flows to determine the present value. Thus, a yield curve is one of the most critical elements in finance! In this series, we will learn how to calibrate the yield curve in Python and decide between different interpolation methods. Enjoy the lecture!

In today’s lecture, we will cover the following subjects:
– Yield Curve and its Dynamics
– Mathematical Formulation
– From Implied Volatilities to Building of YC

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