Lectures
The lecture slides will be updated during the course. The tentative course syllabus is below.
1.Cash flow analysis (23.2.) [Ch. 1+2]
2.Fixed income securities (25.2.) [Ch. 3]
3.Term structure of interest rates (1.3.) [Ch. 4]
4.Applications of interest rate analysis (4.3.) [Ch. 5]
5.Mean-variance portfolio theory (8.3.) [Ch. 6]
6.Capital Asset Pricing Model (10.3.) [Ch. 7]
7.Arbitrage Pricing Theory (15.3.) [Ch. 8+9]
8.Derivative instruments (17.3.) [Ch. 10]
9.Basic options theory (22.3.) [Ch. 11+12]
10.Options pricing in binomial lattices (24.3.) [Ch. 12]
11.Options pricing in continuous time (29.3.) [Ch. 13]
12.Interest rate derivatives (31.3.) [Ch. 14]
1.Cash flow analysis (23.2.) [Ch. 1+2]
2.Fixed income securities (25.2.) [Ch. 3]
3.Term structure of interest rates (1.3.) [Ch. 4]
4.Applications of interest rate analysis (4.3.) [Ch. 5]
5.Mean-variance portfolio theory (8.3.) [Ch. 6]
6.Capital Asset Pricing Model (10.3.) [Ch. 7]
7.Arbitrage Pricing Theory (15.3.) [Ch. 8+9]
8.Derivative instruments (17.3.) [Ch. 10]
9.Basic options theory (22.3.) [Ch. 11+12]
10.Options pricing in binomial lattices (24.3.) [Ch. 12]
11.Options pricing in continuous time (29.3.) [Ch. 13]
12.Interest rate derivatives (31.3.) [Ch. 14]
Course practicalities File PDF document
Lecture 9 - Example File Excel 2007 spreadsheet