SYLLABUS
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European payoff dynamics
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5.1 Discound bonds
5 BONDS, SWAPS AND DERIVATIVES
5.1 Discound bonds
5.1.1 Term structure models for dummies
5.1.2 Parameters illustrated with VMARKET experiments
5.2 Credit derivatives
5.2.1 Vanilla swaps
5.2.2 Cap-/floorlets
5.3 Methods for bonds and derivatives: finite elements (FEM)
5.3.1 The Vasicek model for a bond
5.3.2 Extensions for derivatives
5.4 Computer quiz
5.5 Exercises
5.6 Further reading and links
5.7 Quick intermediate evaluation form