TOPICS IN QUANTATIVE FINANCE

Catalog description

In the first part, we will cover basic interest rate derivatives, the Heath-Jarrow-Morton (HJM) framework, classic short rate models (for both interest rates and default intensities), and the numerical techniques used in practice for their calibration. In the second part, we will cover the basics of single-name derivatives modeling, and we will discuss pricing simple credit derivatives. We will also discuss correlation products and the most common techniques used for their pricing. In the third part, we will discuss some recent research papers addressing the use of adjoint algorithmic differentiation for the calculation of risk for interest rate and credit derivatives