Overview

Interest rate curves. Zero-coupon bonds, spot and forward interest rates. Interest rate derivatives. Stochastic differential equations. Change of measures. No arbitrage pricing and change of numeraire. One-factor short rate models, including Vasicek, Hull and White, CIR and affine models. Two-factor short rate models. The HJM framework and models for forward … For more content click the Read More button below.

Offerings

S2-01-CLAYTON-ON-CAMPUS

Rules

Enrolment Rule

Contacts

Chief Examiner(s)

Dr Kihun Nam

Unit Coordinator(s)

Dr Kihun Nam

Notes

IMPORTANT NOTICE:
Scheduled teaching activities and/or workload information are subject to change in response to COVID-19, please check your Unit timetable and Unit Moodle site for more details.

Learning outcomes

On successful completion of this unit, you should be able to:
1.

Develop specialised mathematical knowledge and skills within the field of stochastic calculus.

2.

Understand the complex connections between financial and probabilistic concepts.

3.

Apply sophisticated stochastic modelling skills within the context of interest rate modelling.

4.

Apply critical thinking to problems in interest rate modelling.

5.

Formulate expert solutions to practical financial problems using specialised cognitive and technical skills within the field of stochastic calculus.

6.

Communicate complex information in an accessible format to a non-mathematical audience.

Teaching approach

Active learning

Assessment

1 - In-semester assessment
2 - Examination (3 hours and 10 minutes)

Scheduled and non-scheduled teaching activities

Applied sessions
Lectures

Workload requirements

Workload

Other unit costs

Costs are indicative and subject to change.
Miscellaneous Items Required (Printing, Stationery) - $100.