• C++ Programming for Financial Engineering
    Highly recommended by thousands of MFE students. Covers essential C++ topics with applications to financial engineering. Learn more Join!
    Python for Finance with Intro to Data Science
    Gain practical understanding of Python to read, understand, and write professional Python code for your first day on the job. Learn more Join!
    An Intuition-Based Options Primer for FE
    Ideal for entry level positions interviews and graduate studies, specializing in options trading arbitrage and options valuation models. Learn more Join!

My tutorial on term structure modeling (from Black-76 to Multivariate LIBOR Model)

Hi guys!

Have a look at my tutorial:

It covers Black-76 and Vasicek models (both closely following original papers but with "modern style" explanations), change of numeraire with edifying examples and a readable(!) introduction to the Multivariate LIBOR Market Model, for which I derive the change between different T-Forward measures step by step.

It answers many questions which I had when I was a student and is expected to be particularly helpful if your lecturer follows Shreve's book.