This page contains links to coursework, teaching materials and other odds and ends:
(Instructor, Summer 2011) This course describes important fixed income securities and markets and develops tools for valuing fixed income securities and managing interest rate risk. The course covers traditional bonds and term structure concepts, as well as fixed income derivatives and financial engineering. The class meets Mondays and Wednesdays from 6pm to 8pm.
(Participant, Summer 2011) This reading group is a forum for discussing and developing tools in continuous time mathematics in order to attack interesting economic questions. First we work with the basic tools and develop the routine results. We can spend time studying these and once a week this reading group can act as discussion session to brain-storm over what is the key idea behind the result? Once we are comfortable with this we will then branch out into applications of our choice. Presentations in this phase would involve setting up an economic problem and analyzing it with the help of tools we have seen. Of course besides convincing why the problem is relevant, it would be great to also get an insight into why modeling it in continuous time adds value.