Term structure models are the basis for the valuation of any financial assets. Fixed income instruments are by far the most important asset class in today’s financial markets. The course focuses on the valuation, hedging, and management of fixed income securities. Basic theoretical and empirical term structure concepts are introduced. Basic short rate models are presented. The Heath-Jarrow-Morton term structure methodology is discussed in detail. Consistency requirements for the construction of term structure curves are presented. The Market LIBOR model and its application for the valuation of futures, forwards, swaps, caps, floors and swaptions, and other interest rate derivatives will be introduced. The course emphasizes both theoretical and practical aspects of term structure models and fixed income securities.