Course Materials
Lectures
Video lectures for each batch. Each lecture follows the corresponding notes closely and covers derivations in real time.
Foundational discounting objects for the course: money-market account, short rate, discount factor, zero-coupon bond, and spot-rate conventions.
Forward-looking term-structure objects for the course: zero-coupon curve, forward rates, instantaneous forward rates, swaps, caps, floors, and swaptions.
Pricing-theoretic foundations for the course: self-financing strategies, no-arbitrage pricing, equivalent martingale measures, contingent claims, and the first numeraire-change toolkit.
Completing the numeraire-change toolkit: drift corrections, diffusion-coefficient notation, convenient numeraires, the T-forward measure, and fundamental pricing formulas.
Closing the no-arbitrage chapter: caplets as zero-coupon bond options, deferred payoff valuation, multiple-payment claims under a terminal measure, and foreign-market numeraire change.
Beginning the modeling chapter: one-factor short-rate dynamics, risk-neutral versus objective measures, Vasicek mean reversion, affine bond pricing, bond options, and AR(1) estimation.
Continuing classical one-factor short-rate models: Dothan lognormal rates, CIR square-root diffusion, affine term-structure structure, Exponential Vasicek, positivity, mean reversion, tractability, and model-selection tradeoffs.
Studying the Hull–White extended Vasicek model: time-dependent drift, exact initial curve fitting, affine bond pricing, zero-coupon bond options, caps and floors, Jamshidian’s decomposition, trinomial tree construction, Arrow–Debreu prices, and discrete curve calibration.