Interest Rate Derivatives, Fall 2018

Department of Statistics and Quantitative Methods, Università Milano-Bicocca

course page: https://elearning.unimib.it/course/view.php?id=19623
Please subscribe the course mailing list sending an e-email to 2018ird-bicocca+unsubscribe@ametrano.net

Reference text book: Options, Futures and Other Derivatives, 8th edition, John Hull
Excel library used for assignments: https://www.quantlib.org/quantlibxl/

  1. 2018-10-11 11:30-14:30 U7 Lab 719
    Interest Rate Basics (slides)
  2. 2018-10-18 11:30-14:30 U7 Lab 719
    Rate Curves Calibration (slides)
  3. 2018-10-25 11:30-14:30 U7 Lab 719
    Workshop on Interest Rate Basics with Paolo Mazzocchi (material)
    Assignments to be submitted before 2018-11-08
  4. 2018-11-08 11:30-14:30 U7 Lab 719
    Credit Derivatives (slides)
    XVAs with Andrea Prampolini (slides)
  5. 2018-11-15 11:30-14:30 U7 Lab 719
    Black Model (slides)
    Volatility with Nicola Moreni (slides)
  6. 2018-11-29 11:30-14:30 U7 Lab 716
    Workshop on Rate Curve Bootstrapping with Paolo Mazzocchi (material)
  7. 2018-12-06 11:30-14:30 U7 Lab 718
    Cap Floor with Carlo Clerici (slides)
    Workshop on Cap, Floor with Paolo Mazzocchi (material)
  8. 2018-12-13 11:30-14:30 U6-37
    Swaption (slides)
    Workshop on Swaptions with Paolo Mazzocchi (material)
  9. 2018-12-20 11:30-14:30 U7 Lab 718
    Short Rate Models (slides)
    Workshop on Bermudan Swaptions with Paolo Mazzocchi (material)
  10. 2019-01-10 12:30-15:30 U6 26
    Guest lecturer to be announced