Math 5800-031(300) Yield Curve Models 

Spring 2010

1 credit

Instructor – James G. Bridgeman

instructor's web site

 Class Meetings will be Wednesday 5:15 to 7:15 (usually finish by 6:45)

Meeting in MSB 407



Term Structure Models – A Graduate Course, Filipovic

Springer 2009

ISBN 978-3-540-09726-6


A wonderful reference, but not required for the course:

Interest Rate Models – Theory and Practice

with Smile, Inflation and credit

Brigo and Mercurio

Springer 2007 2nd ed 3rd corrected printing

ISBN 978-3-540-22149-4


For January 27 study chapter 4 of the text