Sumários

11 novembro 2026, 14:30 • André Teixeira

Assumptions of no-arbitrage models (and why they may fail): the cases of Metallgesellschaft, Sumitomo and Barings Bank.

10 novembro 2026, 14:30 • André Teixeira

Assumptions of no-arbitrage models (and why they may fail): the cases of Societé Generale and Archegos.

4 novembro 2026, 14:30 • André Teixeira

1. Introducing the Interest Rate Swap (IRS) — a strip of FRAs bundled into one

contract

2. Definition and payoff at every payment date

3. Valuing an IRS

4. Setting the fair “swap rate”

5. Transforming a floating borrowing into a fixed borrowing (and lending,

symmetrically)

3 novembro 2026, 14:30 • André Teixeira

1. Settlement in advance: why FRAs usually settle at T1, not T2

2. Setting the fixed rate: the forward rate is the unique fair FRA rate

3. Hedging a future borrowing or lending need with a FRA

28 outubro 2026, 14:30 • André Teixeira

1. Introducing our first interest-rate derivative: the Forward Rate Agreement (FRA)

2. Definition and payoff

3. Valuing a FRA