Fixed Income II

Instructors:       Yuri Balasanov - Jeffrey R. Greco - Lida Doloc

TA:   Slava Balasanov        Stamford TA: Partha Sarkar

Course Announcements

FINAL EXAM

• The final exam will take place on Tuesday, February 19, 2008 between 5:15pm and 8:30pm in Kent 107.

Lecture Notes

Week 1  

• Heath-Jarrow-Morton Framework (Jeff Greco)
• Introduction to Hull-White Model (Jeff Greco)

Week 2

• Hull-White Tree (Jeff Greco)
• Forward Measure (Lida Doloc)

Week 3

• Statistical Model and the HJM Family of Non-Arbitrage Models (Yuri Balasanov)
  • Girsanov Notes
  • Girsanov Notes #2

Week 4

• Hull White Monte Carlo (Jeff Greco)
  • class notes

Week 5

• Stat Model Risk (Yuri Balasanov)
• Hull White PDE (Lida Doloc)
  • class slides

Week 6

• Market Models (Lida Doloc)
• Credit 01 (Yuri Balasanov)
• Credit 02 (Yuri Balasanov)

Homework

• Homework Assignement #1 (see the last assignement from fixed income 1) - Due Thursday, January 17th
• Homework Assignement #2  - Due Thursday, January 17th (While this is a group assignment, it is important that you understand the solutions even the ones you do not solve yourself)
  • Solutions
• Homework Assignement #3 - Due Thursday, January 31st
• Programming Assignement 1 - Due Thursday, Febuary 19th
• Programming Assignement 2 - Due Thrusday, Febuary 19th
• Homework Assignement #4 - Due Tuesday, Febuary 19th (Group Assignement to be submitted to Lida [see "Notes"])
• Homework Assignement #5 - Due Tuesday, Febuary 21th (Goup Assignement to be emailed to Yuri: ybalasan@uchicago.edu  as a Word Document [no spreadsheets please!] no later then 11:59pm)

Midterm Solutions

• Lida
• Yuri
• Jeff

Final Solutions

Lida
Yuri
Jeff

Resources

Other Recommended Readings

Please see the "Reading List." 

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Printing Policy

Handouts will be made available before class and all notes on the site are printable. Please do not be wasteful using the department's printers.

Links