IEOR E4710:   Term Structure Models

Lecture notes for this course can be found by clicking on the links below. If a link is missing then it probably means that I am planning to revise the corresponding notes and will post them when I am done. (I plan to make substantial revisions in spring 2011 when I next teach this course.) I will not be posting assignments or solutions to the assignments so please do not send me an email asking me to do so! Finally, please note that I do not have time to answer emails asking me to clarify or explain issues arising in these notes.

1. Basic Background Material (This material is not covered in the course)

2. Lattice Models (This material is taken from the discrete-time models course)

3. Review of Stochastic Calculus and Mathematical Finance (These are the stochastic calculus notes from the continuous-time finance course)

4. Short-Rate Models

5. Monte-Carlo Simulation

6. The Heath-Jarrow-Morton (HJM) Framework

7. Market Models