Academic Catalog

IAM554 INTEREST RATE MODELS

Course Code: 9700554
METU Credit (Theoretical-Laboratory hours/week): 3(3-0)
ECTS Credit: 8.0
Department: Institute Of Applied Mathematics
Language of Instruction: English
Level of Study: Graduate
Course Coordinator: Prof.Dr. AHMET HAYR KREZLOLU
Offered Semester: Fall or Spring Semesters.

Course Content

Interest Rate Derivatives: Futures, Options on Bonds, and Options on Interest Rates such as Caps and Floors. Models of Arbitrage-Free pricing of Interest-Rate Derivatives: Arbitrage Pricing Theory for Derivative Securities. Basics for The Modeling of Interest-Rate movements. Dynamics of Interest-Rate movements. Short-Rate Models and the Heath-Jarrow-Morton Model of Forward Rates. Change of Numraire Technique. Derivation of Formulae for the Pricing and Hedging of Certain Derivatives. Numerical Methods for the Actual Implementation of the Valuation of Term Structure Models.