5 BONDS, SWAPS AND DERIVATIVES

• 5.1 Discound bonds
  • 5.1.1 Term structure models for dummies
  • 5.1.2 Parameters illustrated with VMARKET experiments
  
  
• 5.2 Credit derivatives
  • 5.2.1 Vanilla swaps
  • 5.2.2 Cap-/floorlets
  
  
• 5.3 Methods for bonds and derivatives: finite elements (FEM)
  • 5.3.1 The Vasicek model for a bond
  • 5.3.2 Extensions for derivatives
  
  
• 5.4 Computer quiz
• 5.5 Exercises
• 5.6 Further reading and links
• 5.7 Quick intermediate evaluation form