Financial Engineering Course: Lecture 1/14, (Introduction and Overview of the Course)

Financial Engineering: Interest Rates and xVA
Lecture 1- part 1/1, Introduction and Overview of the Course
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This course is based on the book:
"Mathematical Modeling and Computation in Finance: With Exercises and Python and MATLAB Computer Codes", by C.W. Oosterlee and L.A. Grzelak, World Scientific Publishing, 2019.
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- Codes and the slides can be found at: https://github.com/LechGrzelak/FinancialEngineering_IR_xVA
- See https://quantfinancebook.com/ for more details and for additional materials.
- Course syllabus can be found at: https://CompFinance.ddns.net/wordpress/free-courses/
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0:00 Introduction & Details Regarding the Course
16:05 Lecture 2- Understanding of Filtrations and Measures
20:08 Lecture 3- The HJM Framework
23:19 Lecture 4- Yield Curve Dynamics under Short Rate
27:28 Lecture 5- Interest Rate Products
30:36 Lecture 6- Construction of Yield Curve and Multi-Curves
34:33 Lecture 7- Pricing of Swaptions and Negative Interest Rates
38:19 Lecture 8- Mortgages and Prepayments
43:31 Lecture 9- Hybrid Models and Stochastic Interest Rates
47:20 Lecture 10- Foreign Exchange (FX) and Inflation
52:06 Lecture 11- Market Models and Convexity Adjustments
56:27 Lecture 12- Valuation Adjustments- xVA (CVA, BCVA and FVA)
1:01:26 Lecture 13- Value-at-Risk and Expected Shortfall
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CONTENT OF THIS COURSE:
*** Lecture 1- Introduction and Overview of the Course
Lecture 2- Understanding of Filtrations and Measures
Lecture 3- The HJM Framework
Lecture 4- Yield Curve Dynamics under Short Rate
Lecture 5- Interest Rate Products
Lecture 6- Construction of Yield Curve and Multi-Curves
Lecture 7- Pricing of Swaptions and Negative Interest Rates
Lecture 8- Mortgages and Prepayments
Lecture 9- Hybrid Models and Stochastic Interest Rates
Lecture 10- Foreign Exchange (FX) and Inflation
Lecture 11- Market Models, Convexity Adjustments and Beyond
Lecture 12- Valuation Adjustments- xVA (CVA, BCVA and FVA)
Lecture 13- Historical VaR, SVaR and Expected Shortfall
Lecture 14- Summary of the Course
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Financial EngineeringInterest RatesxVA