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 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.