Term Structure of Interest Rates. 3 credits, 3 contact hours

Catalog description

Prerequisites: FIN 642 , MATH 605 . This course provides the student with a basic understanding of models of the term-structure of interest rates and the pricing of derivatives on bonds and other interest-rate-based securities. Topics covered include arbitrage-free pricing principles, continuous-time interest-rate models, no-arbitrage term structure models, multifactor models, forward measure approach, market models and model calibration.