The University of New South Wales FINS3636 - Interest Rate Management - Semester 2 (2013)[UL, FO, UD...

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The University of New South Wales FINS3636 - Interest Rate Management - Semester 2 (2013)[UL, FO, UD...
The University of New South Wales FINS3636 - Interest Rate Management - Semester 2 (2013)
[12 Videos (M4V) + Lecture notes & exercies (pdf)]
WEPRip | Lang: English | M4V | 640x486 | AVC, @ 150 Kbps, 5.000 fps | 2.51 GB
Audio: AAC, 22005 Hz, stereo, 32 Kbps
Genre: Economics, Finance




Looks at interest rate risk (IRR) and techniques for managing risk. Topics covered include term structure dynamics (including bond price lattices, spot and forward rate models), analytical and numerical techniques, duration measures, interest rate derivative securities (including options, futures, caps, floors and swaps),
mortgage-backed securities and their derivatives, portfolio management, value-at-risk, and the interaction between IRR and credit risk. In discussing interest-rate derivatives, the primary emphasis is on the Hull-White model, but other models, such as the models of Ho-Lee, Cos-Ingersoll-Ross and Heath-Jarrow-Morton are discussed.

The University of New South Wales FINS3636 - Interest Rate Management - Semester 2 (2013)[UL, FO, UD...

The University of New South Wales FINS3636 - Interest Rate Management - Semester 2 (2013)[UL, FO, UD...

The University of New South Wales FINS3636 - Interest Rate Management - Semester 2 (2013)[UL, FO, UD...

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