Math 5800-031(300) Yield Curve Models
Spring 2010
1 credit
Instructor – James G. Bridgeman
Class Meetings will be Wednesday 5:15 to 7:15 (usually finish by 6:45)
Meeting in MSB 407
Textbook:
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