Here you will find materials for the course of "Financial Engineering: Interest rates & xVA"
YouTube lectures you can find at: https://www.youtube.com/ComputationsInFinance
The 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.
The website of the book is: https://QuantFinanceBook.com
Personal website of the author (with more courses) is: https://LechGrzelak.com
Content of the course:
Lecture 1- Introduction & Details Regarding 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 and Convexity Adjustments
Lecture 12- Valuation Adjustments- xVA (CVA, BCVA and FVA)
Lecture 13- Value-at-Risk and Expected Shortfall
Lecture 14- The Summary of the Course\