The course covers basics of the modern interest rate modeling and fixed income asset pricing. The main goal is to develop a practical understanding of the core methods and approaches used in practice to model interest rates and to price and hedge interest rate contingent securities. The emphasis of the course is practical rather than purely theoretical. A fundamental objective of the course is to enable the students to gain a hands-on familiarity with and understanding of the modern approaches used in practice to model interest rate markets.
[(MATH 481* with min. grade of C) OR (MATH 542 with min. grade of C)] AND [(MATH 485 with min. grade of C) OR (MATH 548 with min. grade of C)] An asterisk (*) designates a course which may be taken concurrently.