105.139 Libor Market Models
This course is in all assigned curricula part of the STEOP.
This course is in at least 1 assigned curriculum part of the STEOP.

2009S, SE, 2.0h, 3.0EC

Properties

  • Semester hours: 2.0
  • Credits: 3.0
  • Type: SE Seminar

Aim of course

Independent work on a special topic of modern mathematical finance, here Libor market models, using appropriate text books and research articles, preparation and presentation of a seminar talk.

Subject of course

Change of numeraire, the classical Libor market model, various approaches to Libor market models with jump processes

Additional information

Please consider the plagiarism guidelines of TU Wien when writing your seminar paper: Directive concerning the handling of plagiarism (PDF)

Lecturers

Institute

Course dates

DayTimeDateLocationDescription
Fri10:00 - 11:0006.03.2009FH Hörsaal 2 Vorbesprechung: HUBALEK
Wed15:00 - 16:3018.03.2009EI 2 Pichelmayer HS - ETIT HUBALEK
Wed15:00 - 16:3025.03.2009EI 8 Pötzl HS - QUER HUBALEK
Wed15:00 - 17:0001.04.2009Sem.R. DB gelb 09 HUBALEK
Wed15:00 - 17:0015.04.2009FH Hörsaal 5 - TPH HUBALEK
Wed15:00 - 16:3022.04.2009GM 3 Vortmann Hörsaal HUBALEK
Wed15:00 - 17:0029.04.2009Sem.R. DB gelb 09 HUBALEK
Wed15:00 - 16:3006.05.2009EI 3 Sahulka HS - UIW HUBALEK
Wed15:00 - 17:0013.05.2009Sem.R. DB gelb 09 HUBALEK
Wed15:00 - 16:3020.05.2009GM 7 Kleiner Schiffbau HUBALEK
Wed15:00 - 16:3027.05.2009HS 18 Czuber - MB HUBALEK
Wed15:00 - 16:3003.06.2009HS 17 Friedrich Hartmann - ARCH HUBALEK
Wed15:00 - 16:3010.06.2009HS 17 Friedrich Hartmann - ARCH HUBALEK
Wed15:00 - 16:3017.06.2009EI 2 Pichelmayer HS - ETIT HUBALEK
Wed15:00 - 16:3024.06.2009EI 8 Pötzl HS - QUER HUBALEK

Course registration

Not necessary

Curricula

Literature

Bjoerk, Arbitrage theory in continuous time; Eberlein and Özkan, The Lévy Libor model; Jamshidian, Libor market model with semimartingales; Glasserman and Kou, The term structure of simple forward rates with jump risk;

Language

English