This course aims to
- examine quantitative aspects of interest rate models and pricing of associated derivatives, such as caps and swaps;
- present calibration methods to stochastic interest rate models, including short rate and forward rate models; and
- introduce modeling of stochastic term structure models and hedging from an infinite-dimensional viewpoint.

- For a student to pass the course, at least 30% of the maximum mark for the examination must be obtained.

- Examination questions are designed to see how far students have achieved their intended learning outcomes. Questions will primarily be skills and understanding based to assess the student's versatility in mathematical methods underlying stochastic interest rate models and associated derivatives pricing.