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105.639 Interest rate models and derivatives
This course is in all assigned curricula part of the STEOP.
This course is in at least 1 assigned curriculum part of the STEOP.

2013W, VU, 3.0h, 4.0EC

Properties

  • Semester hours: 3.0
  • Credits: 4.0
  • Type: VU Lecture and Exercise

Aim of course

  • Vertiefung und Verständnis der fortgeschrittenen Problemstellungen der Finanzmathematik.

Subject of course

  • Modelle in diskreter Zeit:
    • Elementare Theorie der Zinsen (Barwert, innere Zinsrate, Rendite, Duration, Konvexität, Immunisierung),
    • Terminzinsen und Erklärung der Struktur, Zinsstrukturerwartungstheorie, Binomialgitter und -bäume für die Bewertung von Zinsderivaten, Leveling
  • Modelle in stetiger Zeit:
    • Modelle für kurzfristige Zinsen (Vasicek-Modell, Cox-Ingersoll-Ross-Modell, affine Modelle), Preisprozesse für Anleihen und zugehörige europäische Optionen,
    • Modelle für Terminzinsen (Heath-Jarrow-Morton-Modell)

Lecturers

Institute

Course dates

DayTimeDateLocationDescription
Thu09:00 - 12:0003.10.2013Sem.R. DA grün 06A .
Wed09:00 - 12:3009.10.2013 - 29.01.2014Seminarraum 325/2 .
Interest rate models and derivatives - Single appointments
DayDateTimeLocationDescription
Thu03.10.201309:00 - 12:00Sem.R. DA grün 06A .
Wed09.10.201309:00 - 12:30Seminarraum 325/2 .
Wed16.10.201309:00 - 12:30Seminarraum 325/2 .
Wed23.10.201309:00 - 12:30Seminarraum 325/2 .
Wed06.11.201309:00 - 12:30Seminarraum 325/2 .
Wed13.11.201309:00 - 12:30Seminarraum 325/2 .
Wed20.11.201309:00 - 12:30Seminarraum 325/2 .
Wed27.11.201309:00 - 12:30Seminarraum 325/2 .
Wed04.12.201309:00 - 12:30Seminarraum 325/2 .
Wed11.12.201309:00 - 12:30Seminarraum 325/2 .
Wed18.12.201309:00 - 12:30Seminarraum 325/2 .
Wed08.01.201409:00 - 12:30Seminarraum 325/2 .
Wed15.01.201409:00 - 12:30Seminarraum 325/2 .
Wed22.01.201409:00 - 12:30Seminarraum 325/2 .
Wed29.01.201409:00 - 12:30Seminarraum 325/2 .

Course registration

Begin End Deregistration end
01.09.2013 00:00 13.10.2013 23:59 13.10.2013 23:59

Curricula

Study CodeObligationSemesterPrecon.Info
066 405 Financial and Actuarial Mathematics Mandatory
860 GW Optional Courses - Technical Mathematics Not specified

Literature

  • ANDERSEN, L.G.B., V.V. PITERBARG: Interest Rate Modeling. Volume 1: Foundations and Vanilla Models. 2010, Atlantic Financial Press, ISBN 9780984422104
  • ANDERSEN, L.G.B., V.V. PITERBARG: Interest Rate Modeling. Volume 2: Term Structure Models. 2011, Atlantic Financial Press, ISBN 9780984422111
  • ANDERSEN, L.G.B., V.V. PITERBARG: Interest Rate Modeling. Volume 3: Products and Risk Management. 2012, Atlantic Financial Press, ISBN 9780984422128
  • BRIGO, D., F. MERCURIO: Interest Rate Models - Theory and Practice. (2nd edition), Springer Finance, 2007, Springer, ISBN 9783540221494
  • CAIRNS, A.J.G.: Interest Rate Models. An Introduction. 2004, Princeton University Press, ISBN 0691118949
  • FILIPOVIC, D.: Term-Structure Models. Springer Finance Textbook, 2009, Springer, ISBN 9783540097266
  • LUENBERGER, D.G.: Investment Science. 1998, Oxford University Press, ISBN 0195108094
  • MUSIELA, M., M. RUTKOWSKI: Martingale Methods in Financial Modelling. (2nd edition), Stochastic Modelling and Applied Probability, Vol. 36, 2005, Springer, ISBN 3540209662, ISSN 01724568
  • REBONATO, R.: Modern Pricing of Interest-Rate Derivatives. 2002, Princeton University Press, ISBN 0691089736

Preceding courses

Language

German