Course Information

FRE6651 Term Structure Modeling and Advanced Interest Rate Derivatives

Credits: 1.50

Description:
This course covers term-structure models, the term structure of volatility, interest-rate processes with time-dependent volatility and mean reversion, a closer look at path-dependent securities, including sinking fund bonds and options with look-back features, multi-factor models and multinomial methods of discrete numerical implementations. Course readings are drawn from current literature.

Prerequisites: FRE 6411, FRE 6511. Students are expected to know numerical analysis.

Additional material: FRE 6651 TERM STRUCTURE MODELING AND ADVANCED INTEREST RATE.pdf