Spring

IEORE4710 Fixed Income and Term Structure Modeling


Instructor: Tim Leung

Additional Information: IEOR_E4710_Spring_2014_Syllabus.pdf

Prerequisites: IEOR E4703: Monte Carlo Simulation Methods, IEOR E4706: Foundations of Financial Engineering, IEOR E4707: Financial Engineering: Continuous Time Models and computer programming. Interest rate models and numerical techniques for pricing and hedging interest rate contracts and fixed income securities. Introduction to interest models in discrete and continuous time including lattice models, single- and multi- factor models, Heath-Jarrow-Morton and market models. Martingale and PDE methods for pricing and hedging interest-rate derivatives. Monte-Carlo methods for term structure models. Additional applications from mortgage modeling and fixed income asset allocation and risk management.




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