Sumários
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26 Outubro 2020, 17:30 • Rita Sousa
Dynamic term structure models
- No arbitrage and risk-neutral pricing
- Key ingredients of a DTSM
- Affine term structure models
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19 Outubro 2020, 19:00 • Rita Sousa
Overview
Continuous-time affine processes
Discrete-time affine processes
Transforms for affine processes
Estimation of affine processes
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19 Outubro 2020, 17:30 • Rita Sousa
Applications
- Geometric Brownian motion
- Time-varying equity premium