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Linear Rates, Products, and Models
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Linear Rates, Products, and Models

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MIT · Topics in Mathematics with Applications in Finance · LECTURE 8

Andrew Gunstensen, head of quantitative strategies at Mizuho and an MIT PhD, teaches this session of MIT's 18.642 Topics in Mathematics with Applications in Finance. He covers linear interest rate products: how the interest rate market functions as one of the largest and most liquid in finance, the shift from LIBOR to SOFR after the 2008 crisis, and the mechanics of discounting and yield curve construction. The lecture works through swap valuation and hedging in detail, connecting the mathematical models to how these instruments actually trade electronically in modern markets. Gunstensen grounds the theory in practitioner experience, explaining why certain market conventions exist and how traders think about rate risk. The talk assumes some quantitative background and builds toward a working understanding of how linear rate products are priced and managed in practice.

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Lecture facts

Runtime compared with the other 350 Mathematics lectures
Runtime1 h 20 m
Compared with MathematicsLonger than 73%
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Topics in Mathematics with Applications in Finance

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Lecture 7 of 206 h 19 m before this · 24 h 34 m in total

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