Summary

Keywords

18-s096-topics-in-mathematics-with-applications-in-finance-fall-2013 black-scholes credit derivative dynamic hedging forward rates hjm model interest rates ito's lemma lognormal stochastic process monte carlo- simulation

Full Transcript

MIT 18.S096 Topics in Mathematics with Applications in Finance, Fall 2013 View the complete course: http://ocw.mit.edu/18-S096F13 Instructor: Denis Gorokhov This is a guest lecture that describes the HJM model for interest rates and credit, including hedging risk on interest and credit rate derivatives. License: Creative Commons BY-NC-SA More information at http://ocw.mit.edu/terms More courses at http://ocw.mit.edu

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