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
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.