Registry
Module Specifications
Current Academic Year 2012 - 2013
Please note that this information is subject to change.
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Description
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This course covers mathematical models for fixed income, with emphasis on continuous time. Interest rate contracts, Term structure estimation, short rate models, forward rates and HJM approach, market (LIBOR) models.
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Learning Outcomes |
1. Understand interest rate contracts
2. Price fixed income securities
3. Hedge positions in interest rate products
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| Workload |
Full-time hours per semester |
| Type |
Hours |
Description |
| Lecture | 36 | Classes | | Examination | 3 | Final exam | | Seminars | 5 | Attendance of Research Seminars | | Independent learning time | 150 | Independent work on textbooks and related papers | | Total Workload: 194 |
All module information is indicative and subject to change. For further information,students are advised to refer to the University's Marks and Standards and Programme Specific Regulations at: http://www.dcu.ie/registry/examinations/index.shtml
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Indicative Content and Learning Activities
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None |
| Assessment Breakdown | | Continuous Assessment | % | Examination Weight | 100% |
| Course Work Breakdown |
| Type | Description | % of total | Assessment Date |
| Reassessment Requirement |
Resit arrangements are explained by the following categories;
1 = A resit is available for all components of the module
2 = No resit is available for 100% continuous assessment module
3 = No resit is available for the continuous assessment component |
| This module is category 1 |
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Indicative Reading List
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- Damir Filipovic,: 2009, Term-Structure Models: A Graduate Course, Springer, 978-3540097266
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Other Resources
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None |
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Array |
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Programme or List of Programmes
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| FIM | B.Sc. Financial Mathematics |
| Timetable this semester: Timetable for MS402 |
| Archives: | |
