MTH5520 Interest rate modelling
Faculty of Science
MTH5520 Interest rate modelling is a level 5, 6-credit-point, postgraduate unit from the Faculty of Science, offered in 2023 in Semester 2 at Clayton. It has no prerequisites.
- Credit points
- 6
- Offered in 2023
- Semester 2
- Clayton
- Assessment
- Exam 60%
- and 1 other task
This is the 2023 handbook entry. See the 2027 entry.
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Requisites
Before MTH5520
No prerequisites or corequisites besides the enrolment rules below.
After MTH5520
No unit lists MTH5520 as a prerequisite in the 2023 handbook.
Enrolment rules
COREQUISITE: Only students enrolled in the Master of Financial Mathematics and the Master of Mathematics can enrol in this unit. Exceptions can be made with permission from the unit coordinator.
Overview
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.
Offerings in 2023
| Teaching period | Campus | Mode |
|---|---|---|
| Second semester | Clayton | On campus |
Assessment
- Continuous assessment40%
- Examination (3 hours and 10 minutes)Threshold hurdle60%
Learning outcomes
When you finish this unit, you should be able to:
- 1
Develop specialised mathematical knowledge and skills within the field of stochastic calculus.
- 2
Understand the complex connections between financial and probabilistic concepts.
- 3
Apply sophisticated stochastic modelling skills within the context of interest rate modelling.
- 4
Apply critical thinking to problems in interest rate modelling.
- 5
Formulate expert solutions to practical financial problems using specialised cognitive and technical skills within the field of stochastic calculus.
- 6
Communicate complex information in an accessible format to a non-mathematical audience.
Workload and teaching
- Seminars36 hours
- Applied sessions11 hours
- Teaching approachActive learning
- Two 1.5 -hour seminars;
- One 1-hour applied class (in weeks 2-12) and
- Eight hours of independent study per week
Active learning will occur in lectures and applied classes.
Contacts
- Unit Coordinators
- Dr Kihun Nam
- Chief Examiners
- Dr Kihun Nam
Common questions
What are the prerequisites for MTH5520?
MTH5520 has no prerequisites, but enrolment rules apply.
When is MTH5520 offered?
In 2023, MTH5520 runs in Semester 2 at Clayton.
Does MTH5520 have an exam?
Yes. The exam is worth 60% of the final mark, alongside 1 other task.