HJM Model for Interest Rates and Credit 
HJM Model for Interest Rates and Credit
by MIT
Video Lecture 24 of 26
Copyright Information: Peter Kempthorne, Choongbum Lee, Vasily Strela, and Jake Xia. 18.S096 Topics in Mathematics with Applications in Finance. Fall 2013. Massachusetts Institute of Technology: MIT OpenCourseWare, https://ocw.mit.edu. License: Creative Commons BY-NC-SA.
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Date Added: July 3, 2017

Lecture Description

This is a guest lecture that describes the HJM model for interest rates and credit, including hedging risk on interest and credit rate derivatives.

Instructor: Denis Gorokhov

Course Index

Course Description

The purpose of the class is to expose undergraduate and graduate students to the mathematical concepts and techniques used in the financial industry. Mathematics lectures are mixed with lectures illustrating the corresponding application in the financial industry. MIT mathematicians teach the mathematics part while industry professionals give the lectures on applications in finance.

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