Interest Rate Derivatives
Interest Rate Derivatives course at the University of Milano-Bicocca: practitioner approach, multi-curve bootstrapping, term structure models and credit.
Interest Rate Derivatives was taught at the Department of Statistics and Quantitative Methods, University of Milano-Bicocca, from Fall 2013 to the 2021-22 edition.
The course has a practitioner approach: it presents current market best practices, often not yet documented in textbooks, and covers the valuation of linear, plain vanilla and exotic derivatives, with rate and credit curve construction and collateralization.
Editions with a page
Earlier editions (Fall 2013 to Fall 2018) have no page. Ferdinando’s papers on the subject and the QuantLib project are the related reading.
See also: all courses.