Class #06: Thursday 02-Dec-2010 and Saturday 04-Dec-2010
Questions for assignment due at the beginning of this class:
Make sure to read this paper:
Other papers on interest rate derivatives:
Screenshots of Mark's BDT model
Class notes from the 1st half of class
Class notes from the 2nd half of class. Note there is a typo on page 7. One of the
exponents is missing a minus sign. The numbers, however, are correct:
Bring these to class with you
{Go back to FINA 584 home page}
Questions for assignment due at the beginning of this class:
- Fixed income derivative questions
Make sure to read this paper:
- Original Black-Derman-Toy
Other papers on interest rate derivatives:
- Benninga and Wiener
- Klose and Yuan
Screenshots of Mark's BDT model
- Screenshot #1 (from BDT paper)
- Screenshot #2 (3-yr coupon bond)
- Screenshot #3 (based on guesses before Solver)
Class notes from the 1st half of class
- Printed 1 slide per page
- Printed 6 slides per page
Class notes from the 2nd half of class. Note there is a typo on page 7. One of the
exponents is missing a minus sign. The numbers, however, are correct:
- Printed 1 slide per page
- Printed 6 slides per page
Bring these to class with you
{Go back to FINA 584 home page}
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Modeling: Class 06