Credit Risk and Interest Rate Modeling

Math 772 - Winter 2005

Course Description

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.



These were the final projects presented by students taking the course for credit. Click on the titles to see submitted written versions.

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