MTH 660
Fixed Income Modelling
This course develops and studies techniques and models that are used in the analysis of fixed income securities. Topics include: extracting yield curves from bond prices, economics of the term structure of interest rates, types of fixed income securities, one- and multi-factor diffusion models, Heath-Jarrow-Morton models, measurement and management of interest rate risk, defaultable bonds and credit derivatives and stock and currency derivatives when interest rates are stochastic.
MTH 660 Requisite Information:
MTH 660 Let's You Take:
Prerequisites: MTH 430, MTH 500 and (CPS 118 or CPS 106 or CPS109)
- This course is not a prerequisite for any other courses.
Prerequisites: MTH 430, MTH 500 and (CPS 118 or CPS 106 or CPS109)
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