Mathematics 16:643:626 Fixed income Securities and Derivative Modeling
ScheduleThe 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 AbstractThis 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-requisitesPrerequisites: Math 16:643:621, 16:643:573 Co-requisites: Math 16:643:622
"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
SakaiAll course content – lecture notes, homework assignments and solutions, exam solutions, supplementary articles, and computer programs – are posted on Sakai and available to registered students.
Class PoliciesPlease see the MSMF common class policies.
Weekly Lecturing Agenda and ReadingsThis will be provided on Sakai.
|3||Caps, oors, swaptions
|4||Linear Gaussian Model (a.k.a. Vasicek or Hull-White)
|5||More involved static models
|6||Linear Gaussian Model (continued)
|7||Linear Gaussian Model (continued)
|8||Linear Gaussian Model (continued)
|10||LGM with local volatility
|12|| LGM with stochastic volatility
|13||Quadratic Gaussian model
|14||Calibration and parametrization of models