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
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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.
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- Codes and the slides can be found at:
- See for more details and for additional materials.
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0:00 Introduction
7:14 Filtration
28:40 Conditional Expectations
39:32 Conditional Expectations in Python
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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
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#ComputationalFinance, #Python, #QuantitativeFinance, #FinancialMathematics, #MonteCarloSimulation, #OptionPricing, #Finance, #DerivativePricing, #BlackScholes, #FreeCourse, #FinancialEngineering, #Hedging, #Simulation, #Options, #xVA
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