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FIN 517

Advanced Term Structure Models

University of Illinois Urbana-Champaign 2 credits Finance

Course Description

This class is a continuation of FIN 516 Term Structure Models. Coverage of advanced term structure models with a focus on the LIBOR Market Model (LMM). Students will learn the theory behind the model, how to calibrate the model to data and how to develop numerical algorithms in order to implement the model to price a variety of real world interest rate products. Prerequisite: FIN 516.

Code
FIN 517
Credits
2
Subject
Finance

Programs That Include This Course

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