Lecture 2022-2 (13): Comp. Fin. 2 / Applied Mathematical Finance: Collateralization (2/2)
Channel: finmath
Date: 2022-12-05

Lecture 2022-2 (13): Computational Finance 2 / Applied Mathematical Finance: Collateralization (2/2)

- Collateralized Interest Rate Products
- Curve Calibration
- Reference Rates (SOFR, €STR)
- Recovering the Single Curve Theory
- Other Types of Collateral
- Repo
- Violation of Put-Call-Parity
- Numerical Example