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Description:
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This course treats the theory and implementation of interest-rate term structure models. The underlying methodology is change of measure. Both risk-neutral and forward measures are used. Models covered include Hull-White, Cox-Ingersoll-Ross, Heath-Jarrow-Morton, and Brace-Gatarek-Musiela. Texts: S. Shreve, Stochastic Calculus for Finance II: Continuous-Time Models, Springer-Verlag, New York 2004. C. Munk, Fixed Income Analysis: Securities, Pricing, and Risk Management, Lecture Notes, 2005. Prerequisite: Stochastic Calculus for Finance I 46-944. Co-requisite: Simulation Methods for Option Pricing 46-932. (11/08)
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