Introduction to Interest Rate Models by Antoine Savine

volatility, correlation and principal deformations, historical and model implied (historical calibration here)

This introductory presentation of Interest Rate Models, posted on slideShare, is designed for a professional audience of quantitative analysts, developers, traders and risk managers. It introduces the fundamental concepts of arbitrage, risk premium and risk factors and focuses on the Heath-Jarrow-Morton approach and the Markov (Cheyette) family of models.

The lectures were given internally in Danske Bank in Q1 2018 and received an excellent feedback from the audience. It is hoped that other professionals may find the notes useful. While the lectures don’t shy away from the mathematics, they are meant as an introduction. For a deep and broad exploration of the topics, we recommend the three volumes Andersen and Piterbarg’s “Interest Rate Modeling”.

In a similar format (but for a Masters student audience), the lecture notes for Volatility lectures at the University of Copenhagen are also available on slideShare.

Antoine Savine

Quantitative Finance Practitioner (Danske Bank), Academic (Copenhagen University) and Author (Modern Computational Finance, Wiley)

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