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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
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
Hubalek, Friedrich
Institute
E105 Institute of Statistics and Mathematical Methods in Economics
Course dates
Day
Time
Date
Location
Description
Fri
10:00 - 11:00
06.03.2009
FH Hörsaal 2
Vorbesprechung: HUBALEK
Wed
15:00 - 16:30
18.03.2009
EI 2 Pichelmayer HS - ETIT
HUBALEK
Wed
15:00 - 16:30
25.03.2009
EI 8 Pötzl HS - QUER
HUBALEK
Wed
15:00 - 17:00
01.04.2009
Sem.R. DB gelb 09
HUBALEK
Wed
15:00 - 17:00
15.04.2009
FH Hörsaal 5 - TPH
HUBALEK
Wed
15:00 - 16:30
22.04.2009
GM 3 Vortmann Hörsaal
HUBALEK
Wed
15:00 - 17:00
29.04.2009
Sem.R. DB gelb 09
HUBALEK
Wed
15:00 - 16:30
06.05.2009
EI 3 Sahulka HS - UIW
HUBALEK
Wed
15:00 - 17:00
13.05.2009
Sem.R. DB gelb 09
HUBALEK
Wed
15:00 - 16:30
20.05.2009
GM 7 Kleiner Schiffbau
HUBALEK
Wed
15:00 - 16:30
27.05.2009
HS 18 Czuber - MB
HUBALEK
Wed
15:00 - 16:30
03.06.2009
HS 17 Friedrich Hartmann - ARCH
HUBALEK
Wed
15:00 - 16:30
10.06.2009
HS 17 Friedrich Hartmann - ARCH
HUBALEK
Wed
15:00 - 16:30
17.06.2009
EI 2 Pichelmayer HS - ETIT
HUBALEK
Wed
15:00 - 16:30
24.06.2009
EI 8 Pötzl HS - QUER
HUBALEK
Course registration
Not necessary
Curricula
Study Code
Obligation
Semester
Precon.
Info
066 400 Mathematics
Not specified
066 401 Statistics
Not specified
066 402 Mathematics in Science and Technology
Not specified
066 403 Mathematics in Economics
Not specified
066 404 Mathematics in Computer Science
Not specified
066 405 Financial and Actuarial Mathematics
Not specified
066 415 Actuarial Mathematics
Not specified
860 Technical Mathematics
Not specified
864 Mathematics for Natural Sciences
Not specified
866 Economic Mathematics
Not specified
867 Statistics
Not specified
869 Mathematics in Computer Science
Not specified
873 Finance and Actuarial Mathematics
Not specified
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;
Go to Course Materials
Language
English