MATH 240 Fixed income models

Instructor:

Isabelle Camilier

camilier at stanford dot edu

Office hours: 

Meeting times: Monday Wednesday 11am-12:15

Room 380W (Math building)

The spring quarter begins on Monday, April 2 and the last lecture is on Wednesday, June 6.

Textbooks:

• Interest Rate Models - Theory and Practice by Damiano Brigo and Fabio Mercurio (Springer). OPTIONAL TEXTBOOK.
• Arbitrage Theory in Continuous Time by Bjork. OPTIONAL.

Other books (OPTIONAL):

• Martingale Methods in Financial Modelling by Musiela and Rutkowski (Springer)
• Options, Futures, and Other Derivatives by John Hull

Course grade:

Assignments: 5 homework assignments (50%)

"Final presentation": 50%

Prerequisite: MATH238 or equivalent.

Syllabus:

Here is a tentative schedule:

	Topics	Comments
Monday April 2	Introduction. Fixed income markets
Wednesday April 4	Fixed income markets. Interest rates derivatives
Monday April 9	Interest rates derivatives. Change of probability measure.
Wednesday April 11	Interest rates derivatives.
Monday April 16	Short rate models
Wednesday April 18	Short rate models	HW1 due
Monday April 23	Short rate models
Wednesday April 25	HJM
Monday April 30	HJM
Wednesday May 2	HJM for Fixed Income and Credit	HW2 due
Monday May 7	HJM for Fixed Income and Credit
Wednesday May 9	LIBOR Models	HW3 due
Monday May 14	LIBOR Models
Wednesday May 16	LIBOR Models	HW4 due
Monday May 21	Default
Wednesday May 23	Default
Monday May 28	No classes
Wednesday May 30	Additional topics. Presentations.	HW5 due
Monday June 4	Presentations
Wednesday June 6	Presentations