AMS 593 - Interest Rate and Credit Modeling

Introduction to most commonly used interest rate models: Heath-Jarrow-Morton, Brace-Gatareck-Musiela, etc. Cap, Floor, European and Bermudian option pricing. Credit Modeling: Merton structural approach vs. Intensity approach. Corporate bonds, CDS, securitized products (CDO, CLO, mortages), Credit value adjustment (CVA, XVA).

3 credits

Grading Letter graded (A, A-, B+, etc.)