Financial Engineering Course: Lecture 6 part 2/3
Hello everyone, In today’s lecture, we will continue learning how to build a yield curve in Python. In this part of lecture 6 we will have many hands-on Python exercises.…
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…
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…
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…
Financial Engineering Course: Lecture 4 part 2/2
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…
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…
Financial Engineering Course: Lecture 3 part 2/2
Hello everyone, Today, we continue with Lecture no. 3 (part 2 out of 2), discussing the HJM framework. In particular, I will cover the Ho-Lee and the Hull-White models and…
Financial Engineering Course: Lecture 3 part 1/2
Hello everyone, Today, we start with Lecture no. 3 that is focused on the HJM (Heath-Jarrow-Morton) framework. Today's class aims to learn about the main principles behind the arbitrage-free framework…
Financial Engineering Course: Lecture 2 part 3/3
Hello everyone,Today, I would like to share the 3rd, and final, part of Lecture no 2. The objective of today's class is to learn how to benefit from measure transformations.…
Financial Engineering Course: Lecture 2 part 2/3
Hello everyone,Today, I would like to share Lecture no 2 part 2 (out of 3). We continue our process of building a strong base before we move to interest rate…