Math 5800-031(300) Yield Curve Models
Spring 2012
1 credit
Instructor – James G. Bridgeman
Class Meetings will be Wednesday 5:30 to 7:00 (usually finish by 6:45)
Meeting in MSB 411
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 February 8 study chapter 2 of the text
For March 21 read pages 79 to 87, referring back to chapters 4 and 2 as needed.