Yield Curve Modelling

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Yield Curve Modelling

Yield Curve Modelling, Short-Rate Models and Forward-Rate Models

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Courselet Content

2 components

Requirements

  • None

General Overview

Description

This Courselet will cover Interest Rate Models, which can be grouped into Short-Rate Models (including different One-factor, Multi-factor models) and Forward-Rate Models (like Heath-Jarrow-Morton Model and LIBOR Market Model).

The PDF file is generated with the zip file which is available in Extra Resources.

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Meet the instructors !

instructor
About the Instructor

Xingjia Wang is currently a PhD student at the International Research Training Group (IRTG) 1792 “High Dimensional Nonstationary Time Series” and Blockchain Research Center (BRC) of the Humboldt-Universität zu Berlin.