3.0 Hours; 3.0 Credits

The course introduces the quantitative interest rate models commonly used in the financial industry and their applications to the pricing and hedging of fixed income derivatives. The emphasis is on practical aspects of modeling, and the significance of the models for the valuation and risk management of portfolios of widely traded derivative instruments.

Prerequisite: MTH 9814, MTH 9831.Co-requisite: MTH 9862.