This course presents the fundamentals of credit risk and interest
rate modelling in a unified framework. Topics to be covered include:
definitions of coupons and interest rates and review of no-arbitrage
pricing; short rate models; the Heath-Jarrow-Morton framework; positive
interest rates; basic and exotic interest rate derivatives; credit
spread and corporate bond prices; intensity based models; credit rating
models, firm value models; default correlation; credit derivatives;
calibration and practical examples of derivative pricing.
Lecture notes are available here.