Term Structure Modelling - MATH5985


	Faculty: Faculty of Science
	School: School of Mathematics and Statistics
	Course Outline: http://www.maths.unsw.edu.au/
	Campus: Kensington Campus
	Career: Postgraduate
	Units of Credit: 6
	EFTSL: 0.12500 (more info)
	Indicative Contact Hours per Week: 3
	Fee Band: 2 (more info)
	Further Information: See Class Timetable

Description

1. Fixed-income securities: zero-coupon bonds, yield-to-maturity, yield curve, forward rates, LIBOR and caps, swaps and swaptions.
2. Interest rates: short-term interest rate, spot and forward martingale measure, Merton's model, Vasicek model, CIR model, affine term structure models, HJM methodology, Gaussian HJM model, lognormal model of LIBORs, Jamshidian model of forward swap rates.
3. Valuation and hedging of interest rate derivatives: bond options, options on futures, caps, swaptions.