Sumários

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8 Outubro 2020, 13:00 • Rita Sousa

Problem set 2, exercises 6-9

Portfolio theory

  • Introduction

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6 Outubro 2020, 13:00 • Rita Sousa

Term structure models

  • Pricing of swaps and swaptions

Problem set 2, exercises 1-5

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2 Outubro 2020, 11:00 • Rita Sousa

Term structure models

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

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29 Setembro 2020, 13:00 • Rita Sousa

Quiz 1

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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24 Setembro 2020, 13:00 • Rita Sousa

The binomial model

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