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