Advanced Derivatives (FE680)


Course Instructor
Khaldoun Khashanah

This course deals with fixed-income securities and interest-rate sensitive instruments. Topics include term structure of interest rates, Treasury securities, strips, swaps, swaptions, one-factor, two-factor interest rate models, Heath-Jarrow-Merton (HJM) models, and credit derivatives: credit default swaps (CDS), collateralized debt obligations (CDO’s), and Mortgage-backed securities (MBS). Prerequisites: FE620. 




This course is part of the following programs:

Program NameProgram Directors(s)
Financial Engineering Masters (Technology Track)Khaldoun Khashanah
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