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Lectures for the "Fixed Income" advanced course,
Master in Science - Bocconi University
(CLEFIN, Corso di Laurea in Economia delle Istituzioni e dei Mercati Finanziari)
Course Syllabus: Click here.
Lectures 7 to 10: Prof. Damiano Brigo
Lecture 7 (DB 1): The Libor and the swap market models: Introduction and motivation.
Lecture 8 (DB 2): The Libor market model. Derivation and Pricing of Caplets and Swaptions. Calibration and diagnostics.
Lecture 9 (DB 3): The swap market model. Analytical approximations and further developments on calibration.
Lecture 10 (DB 4): Pricing of structured products in the Libor Market Model: Libor in Arrears, CMS, Ratchet, ZC Swaptions.
Exercises on lectures 7 to 10: Prof. Brigo
Exercise set 1 (the solutions have been given "live" during the lectures);
Exercise set 2 (detailed solutions included);
Mid-term exam of December 2005 (detailed solutions included);
Detailed program for the Exam on lectures 7 to 10, Academic year 2005-06: Prof. Brigo
For the earlier lectures:
Lectures 1 to 6: Prof. Gianluca Fusai.
Lecture 1 (GF1): Basic
elements of financial math. Building Blocks: Money Market Rates, TBills, FRA,
Lecture 2 (GF2): Yield Curve Stripping. Caps and Swaptions.
Lecture 3 (GF3): Stochastic Calculus. The Black Model.
Lecture 4 (GF4): Build an interest rate model. The Heath-Jarrow-Morton Model.
Lecture 5 (GF5): Gaussian Heath-Jarrow-Morton Models.
Lecture 6 (GF6): Why a multifactor model? PCA analysis of the term structure. Multivariate HJM models.
For the last two lectures
Lectures 11 to
12: Prof. Fabio Mercurio
Lecture 11 (FM1): Introduction to the volatility smile. Smile modeling in interest rate markets.
Lecture 12 (FM2): Smile-extensions of the market models.
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