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Valuation of Path-Dependent Interest Rate Derivatives in a Finite Difference Setup
Svenstrup, Mikkel
derivatives / fixed incomeResource overview

Valuation of Path-Dependent Interest Rate Derivatives in a Finite Difference Setup

Paper2003

by Svenstrup, Mikkel

Tags
derivativesfixed incomeinterest ratesnumerical methods

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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

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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

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  3. Calibration as an Inverse Problem

    Understand identifiability and fitted model parameters.

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