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Term Structure Modelling - MATH5985
Maths is here

 
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.

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© The University of New South Wales (CRICOS Provider No.: 00098G), 2004-2011. The information contained in this Handbook is indicative only. While every effort is made to keep this information up-to-date, the University reserves the right to discontinue or vary arrangements, programs and courses at any time without notice and at its discretion. While the University will try to avoid or minimise any inconvenience, changes may also be made to programs, courses and staff after enrolment. The University may also set limits on the number of students in a course.