- About Us
- Helpful Links
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).
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