MSc in Mathematics and Finance
Interest Rate Models 2012
Note: The course textbook, D. Filipovic, "Term Structure Models" is available full text on line
- Course Outline.
- Basics of the Libor Market.
- Linear stochastic differential equations.
- The Hull-White swaption formula.
- Implementation of the Hull-White model..
- Futures contracts..
- The HJM drift condition..
- The Libor Market Model..
- Complete Course Notes. This is a first draft. It needs revising, correcting and updating!
- C++ code for Hull-White Trinomial Tree [Zip File].
- EONIA Swap Index Brochure.
- Problems 1.
- Problems 2, Solutions
- Problems 3, Solutions.
- Problems 4, Solutions.
- Problems 5.
- Coursework Project for MSc M&F Students, to be submitted to MD via File Exchange by 16 April 2012.
- Revision Checklist for MSc M&F Students.
- Take-Home Question for RMFE Students.
- Revision Checklist for RMFE Students.
- 2006 Examination, Solutions.
- 2007 Examination, Solutions.
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