Financial Engineering: Interest Rates and xVA
Lecture 4- part 2/2, Yield Curve Dynamics under Short Rate
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This course is based on the book:
"Mathematical Modeling and Computation in Finance: With Exercises and Python and MATLAB Computer Codes", by C.W. Oosterlee and L.A. Grzelak, World Scientific Publishing, 2019.
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Codes and the slides can be found at: https://github.com/LechGrzelak/Financ...
See https://quantfinancebook.com/ for more details and for additional materials.
Course syllabus can be found at: https://CompFinance.ddns.net/wordpres...
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0:00 Introduction
1:13 Limitations of the 1-Factor Model and Yield Curve Dynamics
23:09 Gaussian 2-Factor Model
53:03 Summary of the Lecture + Homework
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CONTENT OF THIS COURSE:
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 05- Interest Rate Products
Lecture 06- Construction of Yield Curve and Multi-Curves
Lecture 07- Pricing of Swaptions and Negative Interest Rates
Lecture 08- Mortgages and Prepayments
Lecture 09- 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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Music: www.bensound.com