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Class introduction: Presentation assignment |
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| 2. |
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Mathematical constant, natural logarithm, bond basics |
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| 3. |
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Taylor series expansion |
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| 4. |
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Taylor series expansion (review), Duration and convexity |
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Implicit government subsidy vs public enterprise, state-owned company |
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Implicit government subsidy illustration, One Step Binomial Trees |
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One Step Binomial Trees |
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One Step Binomial Trees |
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The Value of a Swap, Swap Rate, Swap Curve |
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The Convergence Property of Futures Prices |
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Option as Insurance Contracts, Option Strategies, Put-Call Parity |
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Develop an R code to compute IRR (internal rate of return) using R optimization |
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Multi-Step Binomial Trees |
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Arrow-Debreu Securities; Ho-Lee model |
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Ho-Lee model |
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BDT model; Intermediate cash flows; American Option; Callable Bonds |
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INTEREST RATE MODELS IN CONTINUOUS TIME |
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INTEREST RATE MODELS IN CONTINUOUS TIME |
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Fundamental PDE and Ho-Lee model |
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Convertible bond and Hull-White Model |
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NO ARBITRAGE AND THE PRICING OF INTEREST RATE SECURITIES |
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FORWARD RISK NEUTRAL PRICING AND THE LIBOR MARKET MODEL |
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대구광역시 동구 동내로 64(동내동 1119) 우)41061
