MSc in Mathematics and Finance

Interest Rate Models 2012

Course material

  1. Course Outline.
  2. Basics of the Libor Market.
  3. Linear stochastic differential equations.
  4. The Hull-White swaption formula.
  5. Implementation of the Hull-White model..
  6. Futures contracts..
  7. The HJM drift condition..
  8. The Libor Market Model..
  9. Complete Course Notes. This is a first draft. It needs revising, correcting and updating!
  10. C++ code for Hull-White Trinomial Tree [Zip File].
  11. EONIA Swap Index Brochure.
Note: The course textbook, D. Filipovic, "Term Structure Models" is available full text on line here.

Problem sets

  1. Problems 1.
  2. Problems 2, Solutions
  3. Problems 3, Solutions.
  4. Problems 4, Solutions.
  5. Problems 5.


  1. Coursework Project for MSc M&F Students, to be submitted to MD via File Exchange by 16 April 2012.
  2. Revision Checklist for MSc M&F Students.
  3. Take-Home Question for RMFE Students.
  4. Revision Checklist for RMFE Students.
  5. 2006 Examination, Solutions.
  6. 2007 Examination, Solutions.

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