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MTH 660

Fixed Income Modelling

This course develops and studies techniques and models that are used in the analysis of fixed income securities. Topics include: extracting yield curves from bond prices, economics of the term structure of interest rates, types of fixed income securities, one- and multi-factor diffusion models, Heath-Jarrow-Morton models, measurement and management of interest rate risk, defaultable bonds and credit derivatives and stock and currency derivatives when interest rates are stochastic.
Weekly Contact: Lecture: 3 hrs.
GPA Weight: 1.00
Course Count: 1.00
Billing Units: 1


MTH 430, MTH 500 and (CPS 118 or CPS 106 or CPS109)





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*List may not include courses that are on a common table shared between programs.