Course Description

This course provides students with an understanding of fixed-income securities and their markets. In particular, the course will cover the models and methods used to value, analyze and hedge interest-rate products and derivatives by participants in the finance industry. Examples of these models are spot rate models (e.g., Hull-White), the Heath-Jarrow-Morton (HJM) forward rate model, and the Libor Market Models (LMM). The course integrates theory and practice and focuses on the implementation and calibration of these model using market data, as well as their derivation. Methods and tools needed to understand the models and related theory will also be developed