Even thought I have given some of these lectures a while a ago people are still asking for them. Hence in this I reference all the post with the lecture slides, the study material, and the spreadsheets that were needed for the attending class.

List of related posts:

Credit derivatives 1: Introduction to credit risk

Corporate bonds, asset swaps, and z-spreads Risky yield curves Risk-less yield curve Definition of credit derivatives Comparison with other derivatives Survival and default probabilities, hazard rates Credit default swap, spread, and upfront quotes Standard definitions of default, restructuring, and seniority Bootstrap of probability curve from quoted CDS Example of quoted CDS spreads Credit risk hedging […]

Interest rates 4: Vanilla interest rate options

Probability evolution at information arrival Brownian motion and option pricing Probability measures: physical and risk neutral Interest-rate options, Caplets and Black formula Caps, Floors, and Collars. Cap/Floor parity Bootstrap of volatility term structure cap volatilities Options on swaps (Swaptions) Historical and implied volatilities Volatility smile Caps and floors with digital payoffs or with barriers

Interest rates 1: Introduction to exotic derivatives

Introduction to module “Interest Rate Derivatives” as part of class “Advanced Derivatives” A real-life example of an exotic derivative Structure of a derivative term sheet Pricing tools and pricing software QuantLib: an open-source tool QuantLibXL: using QuantLib on a spreadsheet Object handler and defining objects on a spreadsheet Day counters, business calendars, and end-of-month conventions […]