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FE 680 Advanced Derivatives

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 (CDOs), and Mortgage- backed securities (MGS).

Credits

3

Prerequisite

Distribution

School of Business

Typically Offered Periods

Fall Semester Spring Semester Summer Session 1