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.Prerequisites and Corequisites
Prerequisites: Math 16:643:621, 16:643:573 Corequisites: 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 

1  Instruments

2  Zero curves

3  Caps, oors, swaptions

4  Linear Gaussian Model (a.k.a. Vasicek or HullWhite)

5  More involved static models

6  Linear Gaussian Model (continued)

7  Linear Gaussian Model (continued)

8  Linear Gaussian Model (continued)

9  Mortgages

10  LGM with local volatility

11  HJM, BGM

12  LGM with stochastic volatility

13  Quadratic Gaussian model

14  Calibration and parametrization of models
