Course Resources for Interest Rate Models

Spring, 2015 Professor Lamoureux

• Check this space for course announcements.
  • This is a self-contained 3-unit course within the Finance Department's Fixed Income Focus. FIN 542 is a prerequisite for this class.
  • On September 9, 2004, the FED released a study by Ben Bernanke, Vincent Reinhart, and Brian Sack that reviews Fed monetary policy in a low inflation, very low interest rate environment. A key is the way in which the Fed communicates with the markets--for example, committing to keep interest rates low for a long period.

    This is must reading for fixed income professionals. Remember that Ben Bernanke was Chairman of the Federal Reserve Board of Governors throughout the financial crisis. This paper demonstrates the importance of transparency to his way of thinking.

  • This is a heuristic I wrote to facilitate equivalent risk-neutral pricing for Master's students.

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• Administrative Course Materials:
  • Course Syllabus
  • Course Schedule
  • Sample fortran program to compute the value of a European Call on a Bond for the case of a 1-factor CIR model and 0-coupon bond.

• Send e-mail to the class TA (Danjue Shang).