FIN 517

Fall 2021 All Classes

All Classes

Advanced Term Structure Models

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Credit: 2 hours.

This class is a continuation of FIN 516 Term Structure Models. Coverage of advanced term structure models with a focus on the LIBOR Market Model (LMM). Students will learn the theory behind the model, how to calibrate the model to data and how to to develop numerical algorithms in order to implement the model to price a variety of real world interest rate products.

2 graduate hours. No professional credit. Approved for Letter and S/U grading. Prerequisite: FIN 516.

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FIN 517 class schedule data for fall 2021
	CRN	Type	Section	Time	Day	Location	Instructor	Section Details
	72877	Lecture-Discussion	ATS	9:30AM -10:50AM	MW	243 Wohlers Hall	Widdicks, M	Part of Term: B Date Range: 10/18/21-12/08/21 Restriction(s): Restricted to MS: Financial Engineering or MS: Finance Cost Rec - UIUC.
	75963	Online	XAT	9:30AM -10:50AM	MW	n.a.	Widdicks, M	Part of Term: B Date Range: 10/18/21-12/08/21 Special Approval: Departmental Approval Required Section Info: This online section is only for students registered in-absentia Restriction(s): Restricted to MS:Finance -UIUC, MS: Finance Cost Rec -UIUC, MS: Financial Engineering, MS: Finance - UIUC, or MS: Finance Cost Rec - UIUC.