Financial Engineering Course: Lecture 2/14, part 1/3, (Understanding of Filtrations and Measures)

Financial Engineering: Interest Rates and xVA Lecture 2- part 1/3 Understanding of Filtrations and Measures ▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬ This course is based on the book: “Mathematical Modeling and Computation in Finance: With Exercises and Python and MATLAB Computer Codes“, by C.W. Oosterlee and L.A. Grzelak, World Scientific Publishing, 2019. ▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬ - Codes and the slides can be found at: - See for more details and for additional materials. ▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬ 0:00 Introduction 7:14 Filtration 28:40 Conditional Expectations 39:32 Conditional Expectations in Python ▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬ CONTENT OF THIS COURSE: Lecture 1- Introduction and Overview of the Course *** Lecture 2- Understanding of Filtrations and Measures Lecture 3- The HJM Framework Lecture 4- Yield Curve Dynamics under Short Rate Lecture 05- Interest Rate Products Lecture 06- Construction of Yield Curve and Multi-Curves Lecture 7- Pricing of Swaptions and Negative Interest Rates Lecture 8- Mortgages and Prepayments Lecture 9- Hybrid Models and Stochastic Interest Rates Lecture 10- Foreign Exchange (FX) and Inflation Lecture 11- Market Models, Convexity Adjustments and Beyond Lecture 12- Valuation Adjustments- xVA (CVA, BCVA and FVA) Lecture 13- Historical VaR, SVaR and Expected Shortfall Lecture 14- Summary of the Course ▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬ #ComputationalFinance, #Python, #QuantitativeFinance, #FinancialMathematics, #MonteCarloSimulation, #OptionPricing, #Finance, #DerivativePricing, #BlackScholes, #FreeCourse, #FinancialEngineering, #Hedging, #Simulation, #Options, #xVA ▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬ Music:
Back to Top