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PDEs for pricing interest rate derivatives under the new generalized Forward Market Model (FMM)
C. Vázquez / J. G. López-Salas / S. Pérez-Rodríguez
interest rates / numerical methodsResource overview

PDEs for pricing interest rate derivatives under the new generalized Forward Market Model (FMM)

Paper2024

by C. Vázquez, J. G. López-Salas, S. Pérez-Rodríguez

Tags
interest ratesnumerical methodspartial differential equations

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Suggested foundations for rates and fixed income and optimisation and numerical methods. Specialist prerequisites vary by paper.

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  1. The Bank Account, Short Rate, and the Fundamental Pricing Equation

    Understand discounting in a stochastic-rate model.

  2. DV01, Dollar Duration, and One-Factor Price Sensitivity

    Translate yield movements into first-order price risk.

  3. Vectors, Matrices and Linear Systems

    Read the linear algebra used to define a numerical problem.

  4. Constrained and Convex Optimisation

    Identify the objective, constraints and conditions for an optimum.

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  1. Bootstrapping the Spot Curve from Market Instruments

    Build a consistent discount curve.

  2. The Vasicek Model: Mean Reversion, Affine Bond Prices, and the Gaussian Distribution

    Study a tractable mean-reverting rate model.

  3. Calibration as an Inverse Problem

    Understand identifiability and fitted model parameters.

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