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Lecture 12 Course Summary

Lecture 12 Course Summary. What You Should Have Learned in this Course. Why actuaries need to understand interest rate models How to determine yields, spot rates and forward rates How interest rates have moved in the past How to classify interest rate models.

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Lecture 12 Course Summary

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  1. Lecture 12Course Summary

  2. What You Should Have Learned in this Course • Why actuaries need to understand interest rate models • How to determine yields, spot rates and forward rates • How interest rates have moved in the past • How to classify interest rate models

  3. What You Should Have Learned in this Course (p. 2) • When tree models are appropriate • What the features of the popular models are: • Vasicek • Cox-Ingersoll-Ross • Heath-Jarrow-Morton • Hull-White • How interest rate models have been applied to value investments and for asset-liability management

  4. What You Have Added to Your Library Hull Options, Futures, and Other Derivatives Fabozzi Valuation of Fixed Income Securities and Derivatives Articles on interest rates and interest rate models

  5. What Skills You Should Now Have • How to calculate yields, spot rates and forward rates • How to use a tree model to calculate the value of a cash flow • How to use a simulation model to value a cash flow • How to determine which type of interest rate model is most appropriate for a particular application • How to select the parameters for an interest rate model

  6. What’s Next • Take the final exam so you complete the course • Pay attention to interest rate movements and factors that affect interest rates • Try to use interest rate models in your work • Contribute to the literature of interest rate modeling • Give us feedback on this course and suggestions for improvement

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