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25857 Interest Rate Modelling

6cp
Requisite(s): 25855 Fundamentals of Derivative Security Pricing AND 25856 Probability Theory and Stochastic Processes
These requisites may not apply to students in certain courses. See access conditions.

Description

This subject builds on the subject Fundamentals of Derivative Security Pricing to present the various financial and mathematical concepts, techniques and intuition necessary to price derivative securities in a stochastic interest rate environment. The focus is on spot rate models, the Heath-Jarrow-Morton framework and the LIBOR market model.


Detailed subject description.

Fee information

Information to assist with determining the applicable fee type can be found at Understanding fees.

Access conditions

Note: The requisite information presented in this subject description covers only academic requisites. Full details of all enforced rules, covering both academic and admission requisites, are available at access conditions and My Student Admin.