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