MonMap
A course mapper by Monash Association of Coding (MAC)
Interest rate modelling
MTH5520
Synopsis
Interest rate curves. Zero-coupon bonds, spot and forward interest rates. Interest rate derivatives. Stochastic differential equations. Change of measures. No arbitrage pricing and change of numeraire. One-factor short rate models, including Vasicek, Hull and White, CIR and affine models. Two-factor short rate models. The HJM framework and models for forward rates. LIBOR models. Pricing of interest rate derivatives: swaps, caps and swaptions.
Sourced from the Monash Handbook 2026.
Quick facts
- Credit points
- 6
- Level
- 5
- Audience
- Postgraduate
- Type
- Coursework
- School
- Faculty of Science
- Faculty
- School of Mathematics
- Handbook year
- 2026
Prerequisites (2)
- Financial mathematicsMTH3251
- Statistics of stochastic processesMTH3260
What it unlocks
Nothing in the visible graph depends on this unit.
Offerings (1)
- Second semesterClayton · ON-CAMPUS