Course

Term Structure Modelling - MATH5985

Faculty: Faculty of Science

School: School of Mathematics and Statistics

Course Outline: http://www.maths.unsw.edu.au/

Campus: Sydney

Career: Postgraduate

Units of Credit: 6

EFTSL: 0.12500 (more info)

Indicative Contact Hours per Week: 3

Enrolment Requirements:

Prerequisite: MATH5965 and MATH5975

CSS Contribution Charge: 2 (more info)

Tuition Fee: See Tuition Fee Schedule

Further Information: See Class Timetable

View course information for previous years.

Description

The fixed income market is an important sector of the financial market on which various interest rate sensitive instruments, such as: bonds, swaps, swapations, caps, ect. are traded. The management of interest rate risk – by which we mean the pricing and hedging of interest rate products – is an important and complex issue. It creates a demand for mathematical models capable of covering all kinds of interest rate risks.
The course provides an overview of various concepts of interest rates and the most important interest-rate sensitive contracts. The crucial part of the course is the presentation of various methods of modelling of the term structure of interest rates, and the variation of interest rate derivatives within the framework of each methodology.

Pre-requisites: 24 units of level III mathematics or a degree in a numerate discipline or permission of the Head of Department.


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