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FIN 517 XAT - Adv Term Structure

Campus: Urbana-Champaign


This class is a continuation of FIN 516 Term Structure Models. Coverage of advanced term structure models with a focus on the LIBOR Market Model (LMM). Students will learn the theory behind the model, how to calibrate the model to data and how to to develop numerical algorithms in order to implement the model to price a variety of real world interest rate products. Course Information: 2 graduate hours. No professional credit. Approved for Letter and S/U grading. Prerequisite: FIN 516.

Special Instructions:

This online section is only for students registered in-absentia

Academic Program Restrictions:

MS: Finance Cost Rec -UIUC

Option 1

Number of Required Visit(s): 0

Course Level: Graduate

Credit: 2

Term(s): Fall


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