RMSC6001 - Interest Rates and Fixed Incomes

Fixed income securities are highly sensitive to the fluctuation of interest rates. Thus interest rate modeling becomes crucial for pricing and managing fixed income securities. This course introduces various types of fixed income securities and interest rate models. It covers the celebrated Heath-Jarrow-Morton (HJM) model as well as some term-structure models including Ho-Lee, Hull-White and the CIR models.

Instructor: Prof. WONG, Hoi Ying

Textbook

  • Martellini, L., Priaulet, P., & Priaulet, S. (2003). Fixed-income securities: valuation, risk management and portfolio strategies. John Wiley & Sons.

ReferenceBook

  • Hull, J. (1993). Options, futures, and other derivative securities (Vol. 7). Englewood Cliffs, NJ: prentice hall.