Mathematics 16:643:626 Fixed income Securities and Derivative Modeling
Schedule
The course is normally offered during the Spring semester.- Class meeting dates: Please visit the University's academic calendar.
- Schedule and Instructor: Please visit the University's schedule of classes for the instructor, time, and room.
- Instructor and Teaching Assistant Office Hours: Please visit the Mathematical Finance program's office hour schedule.
Course Abstract
This course covers the Theory and principles behind Fixed Income Securities and Fixed Income Derivatives modeling. Fixed Income Derivatives modeling is a triumph of Mathematical Finance, since all major institutions use the theory for pricing, hedging, and management risk,is by far the largest instrument class.Pre-requisites and Co-requisites
Prerequisites: Math 16:643:621, 16:643:573 Co-requisites: Math 16:643:622Primary Textbooks
"Interest Rate Modeling" by Andersen and Piterbarg (3 volumes)
- Volume I: foundations and Vanilla Models
- Volume II: Term Structure Models
- volume III: Products and Risk Management
Sakai
All course content – lecture notes, homework assignments and solutions, exam solutions, supplementary articles, and computer programs – are posted on Sakai and available to registered students.Grading
TBAClass Policies
Please see the MSMF common class policies.Weekly Lecturing Agenda and Readings
This will be provided on Sakai.Week | Topics |
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1 | Instruments
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2 | Zero curves
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3 | Caps, oors, swaptions
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4 | Linear Gaussian Model (a.k.a. Vasicek or Hull-White)
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5 | More involved static models
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6 | Linear Gaussian Model (continued)
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7 | Linear Gaussian Model (continued)
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8 | Linear Gaussian Model (continued)
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9 | Mortgages
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10 | LGM with local volatility
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11 | HJM, BGM
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12 | LGM with stochastic volatility
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13 | Quadratic Gaussian model
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14 | Calibration and parametrization of models
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