Lecture 7: Linear Rates, Products, and Models
MIT 18.642 Topics in Mathematics with Applications in Finance, Fall 2024
Instructor: Andrew Gunstensen
View the complete course: https://ocw.mit.edu/courses/18-642-topics-in-mathematics-with-applications-in-finance-fall-2024
YouTube Playlist: https://www.youtube.com/playlist?list=PLUl4u3cNGP601Q2jo-J_3raNCMMs6Jves
Andrew Gunstensen, head of quantitative strategies at Mizuho in New York and MIT PhD in Geophysics, delivers an insightful and comprehensive talk on linear interest rate products, focusing on fundamentals, market structure, valuation, hedging, and electronic trading. He covers the basics of interest rates and their significance as the largest and most liquid financial markets, the transition from LIBOR to SOFR post-2008 financial crisis, and the complexities of discounting, yield curve construction, and swap valuation.
License: Creative Commons BY-NC-SA
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We encourage constructive comments and discussion on OCW’s YouTube and other social media channels. Personal attacks, hate speech, trolling, and inappropriate comments are not allowed and may be removed. More details at https://ocw.mit.edu/comments.
Instructor: Andrew Gunstensen
View the complete course: https://ocw.mit.edu/courses/18-642-topics-in-mathematics-with-applications-in-finance-fall-2024
YouTube Playlist: https://www.youtube.com/playlist?list=PLUl4u3cNGP601Q2jo-J_3raNCMMs6Jves
Andrew Gunstensen, head of quantitative strategies at Mizuho in New York and MIT PhD in Geophysics, delivers an insightful and comprehensive talk on linear interest rate products, focusing on fundamentals, market structure, valuation, hedging, and electronic trading. He covers the basics of interest rates and their significance as the largest and most liquid financial markets, the transition from LIBOR to SOFR post-2008 financial crisis, and the complexities of discounting, yield curve construction, and swap valuation.
License: Creative Commons BY-NC-SA
More information at https://ocw.mit.edu/terms
More courses at https://ocw.mit.edu
Support OCW at http://ow.ly/a1If50zVRlQ
We encourage constructive comments and discussion on OCW’s YouTube and other social media channels. Personal attacks, hate speech, trolling, and inappropriate comments are not allowed and may be removed. More details at https://ocw.mit.edu/comments.
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