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Jan 15, 2025
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2014-2016 Undergraduate and Graduate Bulletin (without addenda) [ARCHIVED CATALOG]
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FRE-GY 6651 Term Structure Modeling and Advanced Interest Rate Derivatives1.5 Credits
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, multifactor models and multinomial methods of discrete numerical implementations. Course readings are drawn from current literature.
Prerequisite(s): FRE-GY 6411 and FRE-GY 6511 . Students are expected to know numerical analysis, and matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department.
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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