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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)

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