/College of Engineering and Applied Sciences
Applied Mathematics & Statistics

LIRR STRIKE: The LIRR is on strike, disrupting the ability for commuters to get to and from the Stony Brook campus. More details here.

 

AMS 593, Financial Mathematics

Introduction to most commonly used interest rate models: Heath-Jarrow-Morton, Brace-Gatarek-Musiela, etc. Cap, Floor, European and Bermudian option pricing.  Credit Modeling: Merton structural approach vs. Intensity approach. Corporate bonds, CDS, securitized products (CDO, CLO, mortgages), Credit value adjustment (CVA, XVA).
3 credits

Textbook for Spring 2018:

"Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit" by Damiano Brigo and Fabio Mercurio, Springer Finance, 2nd edition; ISBN:  978-3540221494 (required)