# Lectures

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.

## Credit derivatives 3: Advanced credit derivatives

Asset-backed securities Simple model for ABS pricing Mortgage-backed securities Collateralized debt obligations (CDOs) Credit derivatives and the 2007-2008 market crisis

## Credit derivatives 2: Financial instruments with credit risk

Example of quoted CDS spreads Credit risk hedging using credit-default swaps Some historically important recovery ratios Exotic single-name credit derivatives Portfolio credit derivatives Credit-default-swap index Major traded indexes

## 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 7: Market interest-rate models

No-arbitrage models Hull-White model Monte Carlo simulations Libor market model Other market interest-rate models

## Interest rates 6: Equilibrium interest-rate models

Bond options Introduction to interest-rate models Short-rate models Equilibrium models: Vasicek model Other equilibrium models Binomial and trinomial trees Finite differences

## Interest rates 5: Exotic interest-rate options

Exotic caps, floors, and swaptions Swaps with exotic floating-rate legs Commodities and no-arbitrage Numeraires and pricing formulas Stochastic differential equations (SDEs) Partial differential equations (PDEs) Feynman-Kac formula Numerical methods: analytical approximations

## 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 3: Bootstrapping the interest-rate term structure

Market quotes of deposit rates, IR futures, and swaps Need for a consistent interest-rate curve Instantaneous forward rate Interest-rate term structure built using multiple rates Bootstrapping quoted deposit, futures, and swap rates Foreign-exchange forward contract Sensitivities of interest-rate portfolios (DV01) Hedging portfolio interest-rate risk

## Interest rates 2: Linear Interest Rate Derivatives

Interest-rates: definitions Compounding conventions: simple, compounded, continuous Money-market account The discount factor Yield curve described by a single rate Interbank deposit and deposit rates Forward-rate agreements (FRA) Interest-rate futures Interest-rates swaps IRS fixed leg, IBOR leg, and fair swap rate

## 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 […]