Math 5800-031(300) Yield Curve Models 

Spring 2012

1 credit

Instructor – James G. Bridgeman

instructor's web site

 Class Meetings will be Wednesday 5:30 to 7:00 (usually finish by 6:45)

Meeting in MSB 411



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.