Interest Rate Models and Interest Rate Derivatives

Catalog description

This course covers aspects of interest rate modeling and the valuation of mixed-income securities. Interest rate models such as Ho-Lee, Hull-White, Black-Derman-Toy, and Black-Karasinski will be presented. Topics include: implied volatility and mean reversion, path-dependent securities, option adjusted spread, duration and convexity, hedging techniques, Monte Carlo methods, and multi-factor models.