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MA6627 - Stochastic Interest Rate Models

Offering Academic Unit
Department of Mathematics
Credit Units
3
Course Duration
One semester
Pre-requisite(s)
Course Offering Term*:
Semester B 2024/25

* The offering term is subject to change without prior notice
 
Course Aims

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.


Assessment (Indicative only, please check the detailed course information)
Continuous Assessment: 30%
Examination: 70%
Examination Duration: 3 hours
 
Detailed Course Information
MA6627.pdf

Useful Links
Department of Mathematics