Interest Rate Curve Models
Academic Year: 2022-2023
Prerequisite(s): Stochastic Calculus
Course Hours / Week: 3 hours per week / 8 weeks
The course develops all the theories for modeling interest rate curves, beginning with the modeling of the yield curve used in the valuation of fixed income instruments. The course provides a quick interpretation of the main models used by the world’s main central banks to build their reference zero coupon rates, as well as the main strategies considered during construction.