Agenda

Alain Monfort and Jean-Paul Renne

LECTURE 1: Affine Processes and their Properties
Discrete time affine processes (VAR and VARG processes, Compound Poisson processes, Markov chains, Wishart processes, Stochastic parameters models), Multi-horizon Laplace
transforms, Truncated Laplace transforms, Extended affine processes.

LECTURE 2: Pricing with Affine Processes, an Introduction
Stochastic discount factor, Absence of arbitrage opportunity, Risk-neutral dynamics, Modelling strategies, Interest rate term structure: general results and affine models.

LECTURE 3: Affine Term Structure Models and their Estimation
Gaussian term structure models, Non-negative affine term structure models, Zero lower bound and Stochastic lower bound, Estimation of affine asset pricing models.

LECTURE 4: Forwards, Futures, Convenience Yields, and Introduction to Credit Risk Modelling
Forward and futures contracts, Dividends, Commodity pricing with affine models, Convenience yields, Applications to storable commodities and to electricity market, Standard approach to credit and liquidity risk, Application to the credit and liquidity risk in the Euro zone.

LECTURE 5 : Affine Credit Risk Models with Systemic Risk, Contagion and Credit Event Pricing
The limitations of the standard approach, A general "Bottom-up" affine approach, A "Top-down" affine approach.