Advanced Derivatives (FE680)

This course deals with fixed-income securities and interest-rate sensitive instruments. Topics include term structure of interest rates, Treasury securities, strips, swaps, swaptions, one-factor, two-factor interest rate models, Heath-Jarrow-Merton (HJM) models, and credit derivatives: credit default swaps (CDS), collateralized debt obligations (CDO’s), and Mortgage-backed securities (MBS). Prerequisites: FE620.