Core course notes (
notes
,
sample
code)
Notes on Duration (
duration ,
figures)
Heath-Jarrow-Morton interest rate model (
hjm)
Mean-variance efficient portfolio choice (
meanvar)
Assorted applications:
- market crash insurance: FinCat (extreme
, fincat)
- housing price - inflation swap: (hpirpi)
- preferred share call guarantee: (tier1)