Your opinion on "G63.2794 INTEREST RATE AND CREDIT MODELS" course in NYU

Lucetios · May 12th, 2005, 11:30 am

Hi I am thinking of taking this course during the next fall. My objective is to be able to do a HJM and some credit models (calibration, pricing ...) in practice. Would this course be a good one? Would you suggest another one?Thanks

yl470 · May 12th, 2005, 1:55 pm

It focus on implementation instead of the theory of the model, at least that is true for this semester. But it may change as a different instructor is going to teach it in the fall. You can write to the intructor to get more information.

moogle · May 13th, 2005, 6:45 am

If it is in the same format, it will be very programming intensive, one programming assignment every week(one hard assignment every 3-4 assignments). I met the new instructor a few days ago, seems to be a very nice fellow.