46-774 Term Structure Theory and Practice

0 units, Carnegie Mellon University

This is an advanced course on fixed income pricing theory and practice. The course will present popular continuous-time spot rate evolution and term structure models such as the Hull & White and the Heath-Jarrow-Morton models. These valuation techniques will then be applied to solve practical financial engineering problems relating to structuring and risk management. The highlight of the course is a series of in-class case presentations in which student teams will function as derivative structuring groups. Each team will design and price an exotic structured security and then give a sales pitch to a hypothetical client. Reference Text - Options, Futures, and Other Derivatives, Seventh Edition (or higher) by John C. Hull (ISBN #0-130149908-4). This textbook should be purchased before you arrive in Pittsburgh. Course Materials - Course materials will be distributed on the first day of class through Carnegie Mellon's Blackboard website. Access to this website will be provided at the network orientation.

Prerequisites: none listed

Offered: Summer 2026

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