MATH5985 is an honours and postgraduate mathematics course. See the course overview below.
Units of credit: 6
Prerequisites: MATH5965 and MATH5975
Cycle of offering: Not offered every year
Graduate attributes: The course will enhance your research, inquiry and analytical thinking abilities.
More information: The course outline (PDF) contains information about course objectives, assessment, course materials and the syllabus. Course outlines will be made available prior to commencement of term offering.
Important additional information as of 2023
The University requires all students to be aware of its policy on plagiarism.
For courses convened by the School of Mathematics and Statistics no assistance using generative AI software is allowed unless specifically referred to in the individual assessment tasks.
If its use is detected in the no assistance case, it will be regarded as serious academic misconduct and subject to the standard penalties, which may include 00FL, suspension and exclusion.
The online handbook entry contains up-to-date timetabling information.
If you are currently enrolled in MATH5985, you can log into UNSW Moodle for this course.
The fixed-income market is an important sector of the global financial market on which various interest rate-sensitive instruments, such as bonds, swaps, swaptions, caps, etc. are traded. The management of interest rate risk, by which we primarily mean the pricing and hedging of interest rate products, is an important and complex issue. It creates a demand for mathematical models capable of covering all sorts of interest rate risks.
Due to the specific way in which fixed-income securities are quoted in existing markets, theoretical term structure models are often easier to formulate and analyse in terms of interest rates which are different from the conventional market rates. The course will give an overview of various concepts of interest rates, and will describe the most important interest rate-sensitive contracts.
The crucial part of the syllabus is the presentation of various methods of modelling of the term structure of interest rates, and the valuation of interest rate derivatives within the framework of each methodology. In particular, we deal with various classical examples of short-term rate models, the Heath-Jarrow-Morton methodology, and recently developed market models, such as, the BGM model of LIBORs and Jamshidian's model of forward swap rates.