FINM 33601

Fixed Income Derivatives

Spring Quarter
Instructor: Yuri Balasanov, Lida Doloc, Jeff Greco
Syllabus

The topics in this course include an introduction to fixed income markets, a detailed review of fixed income derivative instruments, and a general approach to bootstrapping the LIBOR term curve from available market quotes.  We also discuss the application of the Black-Scholes-Merton model to pricing European swaptions and caps/floors.  Students will study a statistical approach to building a foundation for the Heath-Jarrow-Morton framework of interest rate models. Students should be prepared for the extensive use of Stochastic Calculus.