Sumários
Bond pricing in the multi-period binomial model
4 Outubro 2023, 13:00 • Szabolcs Sebestyén
Pricing of swaps and swaptions
Problem set, exercise 1, and exercise 2, parts (a)-(e)
Bond pricing in the multi-period binomial model
3 Outubro 2023, 11:00 • Szabolcs Sebestyén
Pricing of options on bonds
Pricing of bond forwards
Pricing of bond futures
Pricing of caplets and floorlets
Bond pricing in the multi-period binomial model
28 Setembro 2023, 13:00 • Szabolcs Sebestyén
Pricing forwards
Pricing futures
Term structure models
- Binomial model for the short rate
- The cash account and pricing of zero-coupon bonds
Bond pricing in the multi-period binomial model
26 Setembro 2023, 13:00 • Szabolcs Sebestyén
The binomial model
- The multi-period binomial model
- Replicating strategies in the binomial model
Bond pricing in the multi-period binomial model
21 Setembro 2023, 13:00 • Szabolcs Sebestyén
The binomial model
- The one-period binomial model
- Derivative pricing in the one-period binomial model