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loaded in screen.css aad-20220314--> Skip to Bulletin Content Skip to Bulletin Navigation AZ Index Bulletin Home Institution Home Washington University in St.Louis Send Page to Printer Download / Print Options Toggle menu Search Bulletin Submit search --> About Washington University Programs of Study Undergraduate Graduate &&＃8203; Professional About This Bulletin Search Results Search Results 2023-24 Bulletin About Washington University Programs of Study Undergraduate Graduate &​ Professional About This Bulletin Bulletin Submit search --> Search Send Page to Printer Download / Print Options Search Results Bulletin›Search Results›Search Results Change Edition 2023-24 (1 result) 2022-23 (1 result) 2020-21 (0 results) 2019-20 (0 results) 2018-19 (0 results) 2017-18 (1 result) 2016-17 (1 result) 2015-16 (0 results) 2014-15 (0 results) 2013-14 (0 results) 2012-13 (0 results) 2011-12 (0 results) Go B62 FIN 552 Fixed Income Derivatives This is an advanced course in fixed income, focusing on risk-neutral model-based pricing of fixed-income securities. We will cover both analytic and Monte Carlo pricing of various types of fixed-income derivatives, including caps/floors and swaptions in the context of key "factor models" of the swap term structure and LIBOR Market Model (LMM). Students will apply the theory in a practical group project by calibrating Bloomberg data to interest rate models. In addition, an introduction to the Local Volatility and Stochastic Volatility LMM (SABR) models and basic frameworks of structural and reduced form credit-risk models will be given. We will briefly consider how to use these models to price various types of exotic interest rate derivatives and credit-risky bonds and credit-default swaps commonly seen in practice. Practitioner-focused real-life applications and recent market developments (OIS, CVA) will also be discussed. Prerequsisites: FIN 525, FIN 539, and completion of or concurrent enrollment in FIN 537.Credit 1.5 units.View Sections Contact Info About Washington University Programs of Study Undergraduate Graduate &&＃8203; Professional About This Bulletin Search Results Search Results Office of the University Registrar Washington University in St. Louis Women's Building, Suite 10 One Brookings Drive, MSC 1143-0156-0B St. Louis, MO 63130-4899 314-935-5959 | fax: 314-935-4268 [email protected] https://registrar.wustl.edu Email the Bulletin editor Additional Resources Admissions Course Listings Financial Aid Bulletin A-Z Index Site Map facebook twitter instagram youtube flickr --> Snapchat TikTok © 2023 Washington University in St. Louis Close this window Print Options Back to top