2013-2014 Undergraduate and Graduate Bulletin (with addenda) 
    
    Jun 19, 2018  
2013-2014 Undergraduate and Graduate Bulletin (with addenda) [ARCHIVED CATALOG]

[Add to Portfolio]

FRE-GY 6651 Term Structure Modeling and Advanced Interest Rate Derivatives

1.5 Credits
This course covers term-structure models, the term structure of volatility, interest-rate processes with time-dependent volatility and mean reversion, a closer look at path-dependent securities, including sinking fund bonds and options with look-back features, multifactor models and multinomial methods of discrete numerical implementations. Course readings are drawn from current literature.

Prerequisite(s): FRE-GY 6411  and FRE-GY 6511 . Students are expected to know numerical analysis, and matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department.
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0



[Add to Portfolio]