About This Project

What This Is

Fixed Income OpenCourseWare is a public platform for rigorous fixed-income education, following the spirit of MIT OpenCourseWare. The current course, Interest Rate Models, is a structured treatment of the mathematical foundations of interest-rate modeling built around Brigo & Mercurio’s Interest Rate Models: Theory and Practice (2nd ed., Springer), one of the definitive references in the field. The course covers interest-rate derivatives pricing from first principles through to model calibration and market practice.

Why It Exists

Rigorous fixed-income education is difficult to find in open, structured form. Most available material either oversimplifies the mathematics or assumes prior familiarity with the subject. This project attempts to fill that gap: offering a full treatment of interest-rate models from first principles, with complete derivations, worked examples, problem sets, and solutions, released incrementally as an ongoing learning library.

Inspiration

The structure of this course is inspired by MIT OpenCourseWare — the principle that high-quality course materials can and should be publicly available. Materials are organized by lecture, with notes, problem sets, and videos released together in weekly batches.

Intended Audience

The course is intended for graduate students in mathematics, statistics, or financial engineering; quantitative analysts working in fixed income or rates; and practitioners seeking a rigorous foundation in interest-rate modeling. Prerequisites include stochastic calculus (Itô’s lemma, Girsanov’s theorem), probability theory, and familiarity with derivatives pricing fundamentals.

Primary Text

Damiano Brigo and Fabio Mercurio, Interest Rate Models: Theory and Practice, Springer Finance, 2nd edition. ISBN: 978-3-540-22149-4.

The primary text is available through Springer and many university libraries.