EF4821 - Derivatives Pricing II: Interest Rate and Credit Risk | ||||||||||
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| * The offering term is subject to change without prior notice | ||||||||||
Course Aims | ||||||||||
This course aims to further study the theoretical and numerical methods in pricing fixed income securities and interest rate derivatives. It covers important term structure (short-rate) and LIBOR market models, and credit risk models. This course aims to enable students to efficiently implement a wide range of models for pricing and hedging fixed income derivatives, and to equip students with the capability of performing integrated numerical computations in pricing and hedging derivatives that are important in practice. | ||||||||||
Assessment (Indicative only, please check the detailed course information) | ||||||||||
Continuous Assessment: 50% | ||||||||||
Examination: 50% | ||||||||||
Examination Duration: 2 hours | ||||||||||
Detailed Course Information | ||||||||||
| EF4821.pdf | ||||||||||
