Science of Term Structure Models
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Über den Vortrag
Der Vortrag „Science of Term Structure Models“ von Edu Pristine ist Bestandteil des Kurses „Archiv - Market Risks“. Der Vortrag ist dabei in folgende Kapitel unterteilt:
- Interest Rate Tree - Binomial Model
- Backward Induction
- Risk-neutral Probalilities & Interest-Rate Drift
- Risk-neutral Pricing
- Option Pricing
Dozent des Vortrages Science of Term Structure Models
Edu Pristine
Trusted by Fortune 500 Companies and 10,000 Students from 40+ countries across the globe, EduPristine is one of the leading International Training providers for Finance Certifications like FRM®, CFA®, PRM®, Business Analytics, HR Analytics, Financial Modeling, Operational Risk Modeling etc. It was founded by industry professionals who have worked in the area of investment banking and private equity in organizations such as Goldman Sachs, Crisil - A Standard & Poors Company, Standard Chartered and Accenture.EduPristine has conducted corporate training for various leading corporations and colleges like JP Morgan, Bank of America, Ernst & Young, Accenture, HSBC, IIM C, NUS Singapore etc. EduPristine has conducted more than 500,000 man-hours of quality training in finance.
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Auszüge aus dem Begleitmaterial
... assumes that interest rates can take only a max. of two possible values in the next period. The model assumes ...
... the bond at the upper node for period 1, V1, L. The value of the bond today V0. Since the computed value of the bond equals the market price, the binomial tree is arbitrage free ...
... the market prices we use something known as risk-neutral probabilities. The 0.5 probability used in the previous example is known as true probability. ...
... Adjust the interest rates. Use the spot and forward rates derived from the current yield curve and adjust the interest rates on the paths of the trees. Value derived from the model should be equal to the market price of the on-the-run bond. The interest rates can then be used to price ...
