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AMS 593, Financial Mathematics
Introduction to most commonly used interest rate models: Heath-Jarrow-Morton, Brace-Gatarek-Musiela,
etc. Cap, Floor, European and Bermudian option pricing. Credit Modeling: Merton structural
approach vs. Intensity approach. Corporate bonds, CDS, securitized products (CDO,
CLO, mortgages), Credit value adjustment (CVA, XVA).
3 credits
Textbook for Spring 2018:
"Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit" by
Damiano Brigo and Fabio Mercurio, Springer Finance, 2nd edition; ISBN: 978-3540221494
(required)
Department of Applied Mathematics & StatisticsStony Brook, NY 11794-3600
Phone: 631-632-8370Fax: 631-632-8490