Learn · Financial Derivatives & Risk Management

Lecture 57 of 61Unit-12

Swaps: Valuation of Interest Rate Swaps

Prof. J. P. Singh · IIT Roorkee

Credits and licence

From
Financial Derivatives & Risk Management, IIT Roorkee (at NPTEL)
Licence
CC BY-NC-SA, as NPTEL states it. Non-commercial use only.
Attribution
NPTEL states: "Distributed under Creative Commons Attribution-ShareAlike / CC BY - NC - SA", beside a BY-NC-SA badge.
Who can watch
Tweens profiles and older. How courses are placed

All the lectures

  1. Overview of Derivatives Video
  2. Forwards: Introduction & Pricing Video
  3. Forwards: Pricing & Arbitrage Video
  4. Forwards Pricing: Consumption Assets Video
  5. Futures: Introduction & Salient Features Video
  6. Futures: Margining & MTM Video
  7. Forwards & Futures Prices, Exposure Video
  8. Exposure & Risk Video
  9. Basics of Futures Hedging Video
  10. Futures Hedging: Nuances Video
  11. Futures Hedging: No of Contracts Video
  12. Futures Hedging: Examples Video
  13. Mean Variance Portfolio Theory Video
  14. Capital Asset Pricing Model Video
  15. Systematic & Unsystematic Risk Video
  16. Index Futures: Basic Theory Video
  17. Hedging with Index Futures Video
  18. Index Futures: Arbitrage, Examples Video
  19. Spot Interest Rates & YTM Video
  20. YTM, Other Yield Measures Video
  21. Interest Rate Risk Video
  22. Duration & Price Sensitivities, Immunization Video
  23. Interest Rate Futures: Salient Features Video
  24. T-Bill Futures: Applications Video
  25. T-Bill Futures: Hedging Video
  26. T-Bill Futures: Arbitrage; Eurodollar Futures Video
  27. Tailing the Hedge; Clean & Dirty Price Video
  28. US T-Bond Futures: Salient Features, Pricing Video
  29. US T-Bond Futures: Conversion Factor; Options Video
  30. Options: Basic Theory Video
  31. Options: Put-Call Parity Video
  32. Options: Price Bounds, American Options Video
  33. American Options: Properties Video
  34. Basic Option Trading Strategies Video
  35. Option Strategies Contd Video
  36. Option Spread Strategies Video
  37. Stochastic Processes: Random Walk Video
  38. Stochastic Processes: Brownian Motion Video
  39. Stochastic Processes: Diffusion Equation Video
  40. Stochastic Processes: Central Limit Theorem, Stochastic Calculus Video
  41. Stochastic Calculus: Ito's Equation Video
  42. Stock Price Distributions; Fokker Planck Equation & Solution Video
  43. Lognormal Distribution Video
  44. Option Pricing: Binomial Model, Risk Neutral Valuation Video
  45. Option Pricing: Binomial Model Contd Video
  46. Girsanov Theorem; Black Scholes Model Video
  47. Black Scholes Model Contd. Video
  48. Features of BS Model Video
  49. Solution of BS PDE; Option Greeks Video
  50. Option Greeks: Definition & Properties Video
  51. Option Greeks: Further Properties Video
  52. Option Greeks: Further Properties, Role in Trading Strategies Video
  53. Option Greeks: Further Properties, Role in Trading Strategies Contd. Video
  54. Option Greeks: Role in Trading Strategies Contd.; Swaps Video
  55. Forward Rate Agreements; Swaps Video
  56. Swaps: Theory of Swaps Video
  57. Swaps: Valuation of Interest Rate Swaps Video
  58. Currency Swaps; Value at Risk Video
  59. Value at Risk: Definition & Computation Video
  60. Value at Risk: Computation for Bond & Derivative Portfolios Video
  61. Live Session 17-09-2019 Video