Interest Rate and Credit Models
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Overview
Subject area
MTH
Catalog Number
9877
Course Title
Interest Rate and Credit Models
Department(s)
Description
The course introduces mathematical models used to price and risk managefinancial derivatives in the interest rate and credit derivatives markets. Thecourse offers a thorough introduction to all major quantitative methodologiescurrently used in the financial industry, including curve construction, volatilitymodeling, term structure modeling, credit risk, and counterparty credit riskmodeling.
Typically Offered
Fall, Spring, Summer
Academic Career
Graduate
Liberal Arts
Yes
Credits
Minimum Units
3
Maximum Units
3
Academic Progress Units
3
Repeat For Credit
No
Components
Name
Lecture
Hours
3
Requisites
033033