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.