Slides

Here you can download sample slides provided by authors of fixed income books. More than 2000 slides for the trilogy on the Fixed Income Valuation Course together with the Excel/VBA software provide an unprecedented opportunity to teach fixed income concepts, models, and strategies, in any setting including a university classroom or a practitioner seminar.

This is an ongoing project, so please revisit in the future for any new additions.

Slides by Book

Interest Rate Risk Modeling: The Fixed Income Valuation Course - Nawalkha, Soto, Beliaeva Chapter 1. Interest Rate Risk Modeling: An Overview Chapter 2. Bond Price, Duration, and Convexity Chapter 3. Estimation of the Term Structure of Interest Rates Chapter 4. M-Absolute and M-Square Risk Measures Chapter 5. Duration Vector Models Chapter 6. Hedging with Interest-Rate Futures Chapter 7. Hedging with Bond Options: A General Gaussian Framework Chapter 8. Hedging with Swaps and Interest Rate Options Using the LIBOR Market Model Chapter 9. Key Rate Durations with VaR Analysis Chapter 10. Principal Component Model with VaR Analysis Chapter 11. Duration Models for Default-Prone Securities

Dynamic Term Structure Modeling: The Fixed Income Valuation Course - Nawalkha, Beliaeva, Soto Chapter 1 A Simple Introduction to Continuous-Time Stochastic Processes Chapter 2 Arbitrage-Free Valuation: Some Basic Results Arbitrage-Free Valuation in Continuous Time Chapter 3 Pricing Frameworks for Valuing Time Deposit and Treasury Futures Pricing Frameworks for Valuing Basic Interest Rate Derivatives and Credit Derivatives A New Taxonomy of Term Structure Models