This lecture introduces into the arbitrage theory of fixed income
markets and interest rate/credit derivatives. Topics that are covered
include
- Introduction to interest rates and interest rate derivatives: bonds, various interest rates, swaps, caps, floors, swaptions, market conventions
- Arbitrage pricing: portfolios, arbitrage, hedging valuation
- Short-rate models
- Affine term structure models
- HJM models
- Forward measures
- LIBOR market models
- Credit risk and Related Contracts
- Structural Models
- Reduced-Form Models
- Trainer/in: Thilo Meyer-Brandis
- Trainer/in: Annika Steibel