MF5: Advanced Term Structure Modelling

Lecturer: Dr Markus Leippold, Imperial College Business School

Term: Summer 2009
Place: Lecture Theatre 2, Tanaka Business School
Time: Wednesday 6-9pm
First meeting: TBA
Course Home Page: http://www3.imperial.ac.uk/people/m.leippold/teaching

This course trains students in advanced term structure models for interest rates. It covers the early single and multi-factor models as well as the classical Heath-Jarrow-Morton framework and more recent models such as the Libor and swap market model. Finally, we take a look at current issues in term structure modelling such as macro-finance models, and asset allocation with term structure models. For the structure of the course, we split the term structure models into two classes. The first class, the Dynamic Term Structure Models, aim at pricing and fitting the term structure of bonds. The second class, the Option Pricing Models, takes the term structure of bonds as given and aim at the pricing of interest rate and bond derivatives.