MATH 606

Term Structure Models. 3 credits, 3 contact hours

New Jersey Institute of Technology · UGRD · Fall 2026

1 section

Catalog description

Prerequisites: MATH 605 , or permission of the instructor. Corequisite: MATH 608 . This course will develop the mathematical structure of interest rate models and explore the considerable hurdles involved in practical implementation. Short rate models, single and multifactor; the Heath-Jarrow-Morton framework; and modern Libor market models will be examined.

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Class #new_jersey-1568Fall 2026UGRD

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