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

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.