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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

Click here;


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, Eurofutures, Swaps.

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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