Sumários

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6 Outubro 2021, 13:00 • Rita Sousa

Term structure models

  • Pricing of swaps and swaptions

Problem set 2, exercise 1, exercise 2, parts (a)-(c)

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4 Outubro 2021, 13:00 • Rita Sousa

Term structure models

  • Pricing of ZCB
  • Pricing of options on bonds
  • Pricing of bond forwards
  • Pricing of bond futures
  • Pricing of caplets and floorlets

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30 Setembro 2021, 13:00 • Rita Sousa

Quiz 1

The binomial model

  • Pricing forwards
  • Pricing futures

Term structure models

  • Binomial models for the short rate
  • The cash account and pricing of zero-coupon bonds

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28 Setembro 2021, 13:00 • Rita Sousa

The binomial model

  • The multi-period binomial model
  • Replicating strategies in the binomial model

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23 Setembro 2021, 13:00 • Rita Sousa

The binomial model

  • Basics
  • The one-period binomial model
  • Derivative pricing in the one-period binomial model