The focus will be to understand OOP concepts as they are applied to financial markets. This course focuses on techniques for modeling fixed income instruments and interest rate sensitive derivative products. Students deepen skills in the analysis of option embedded bonds using OAS models, mean reversion, and path dependent securities using multinomial models. This course also surveys term structure models using several spot rate models and the HJM approach. Dates and Requirements Courses meet one evening a week for 11 weeks at IIT's Downtown Campus, just blocks from Union Station and the major exchanges.
Admission requires completion of an undergraduate degree.
The Center is now accepting applications for the Fall Quarter which begins Augusts 28, 2000.