Instructor: Allanus Tsoi

Description: This course basically deals with stochastic interest rate models both in disrete and continuous time, which includes the Ho and Lee model, the Vasicek Model, and the Cox-Ingersoll-Ross model. The Heath-Jarrow-Morton no-arbitrage framework will be introduced. The associated bond price dynamics will be discussed.

Prerequisite: An introductory course in probability or statistics theory.

Textbook: Interest Rate Models - by Andrew J.G. Cairns. Princeton University Press.