Term Structure and Interest Rate Derivatives

This module will cover both term structure models as well as the valuations of interest rate derivatives. The topics covered include Vasicek , Ho-Lee, Cox-Ingersoll-Ross (CIR), Heath-Jarrow-Morton (HJM) and LIBOR market models. On the numerical side it will cover Black-Derman-Toy (BDT) and Hull-White models as well as some simulation methods.

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