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Explore the fundamentals of linear interest rate products in this comprehensive lecture from MIT's Topics in Mathematics with Applications in Finance course. Learn about interest rate markets as the largest and most liquid financial markets globally, examining their basic principles and market structure. Discover the transition from LIBOR to SOFR following the 2008 financial crisis and understand its implications for modern finance. Master the complexities of discounting techniques, yield curve construction methodologies, and swap valuation principles. Gain insights into valuation and hedging strategies for linear rate products, along with electronic trading mechanisms in these markets. Benefit from the expertise of Andrew Gunstensen, head of quantitative strategies at Mizuho in New York and MIT PhD in Geophysics, who delivers practical industry perspectives alongside theoretical foundations essential for understanding modern interest rate markets and their mathematical applications in finance.
