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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.
2023W
2022W
2021W
2020W
2019W
2018W
2017W
2016W
2015W
2014W
2013W
2012W
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
Cuchiero, Christa
Institute
E105 Institute of Statistics and Mathematical Methods in Economics
Course dates
Day
Time
Date
Location
Description
Thu
09:00 - 12:00
03.10.2013
Sem.R. DA grün 06A
.
Wed
09:00 - 12:30
09.10.2013 - 29.01.2014
Seminarraum 325/2
.
Show single appointments
Interest rate models and derivatives - Single appointments
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Day
Date
Time
Location
Description
Thu
03.10.2013
09:00 - 12:00
Sem.R. DA grün 06A
.
Wed
09.10.2013
09:00 - 12:30
Seminarraum 325/2
.
Wed
16.10.2013
09:00 - 12:30
Seminarraum 325/2
.
Wed
23.10.2013
09:00 - 12:30
Seminarraum 325/2
.
Wed
06.11.2013
09:00 - 12:30
Seminarraum 325/2
.
Wed
13.11.2013
09:00 - 12:30
Seminarraum 325/2
.
Wed
20.11.2013
09:00 - 12:30
Seminarraum 325/2
.
Wed
27.11.2013
09:00 - 12:30
Seminarraum 325/2
.
Wed
04.12.2013
09:00 - 12:30
Seminarraum 325/2
.
Wed
11.12.2013
09:00 - 12:30
Seminarraum 325/2
.
Wed
18.12.2013
09:00 - 12:30
Seminarraum 325/2
.
Wed
08.01.2014
09:00 - 12:30
Seminarraum 325/2
.
Wed
15.01.2014
09:00 - 12:30
Seminarraum 325/2
.
Wed
22.01.2014
09:00 - 12:30
Seminarraum 325/2
.
Wed
29.01.2014
09:00 - 12:30
Seminarraum 325/2
.
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P
1
N
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Course registration
Begin
End
Deregistration end
01.09.2013 00:00
13.10.2013 23:59
13.10.2013 23:59
Curricula
Study Code
Obligation
Semester
Precon.
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
Go to Course Materials
Preceding courses
105.594 VO Mathematical Finance 1: Discrete-Time Models
105.595 UE Mathematical Finance 1: Discrete-Time Models
105.057 VO Mathematical Finance 2: Continuous-Time Models
105.131 UE Mathematical Finance 2: Continuous-Time Models
105.653 VO Stochastic analysis in financial and actuarial mathematics 1
105.089 UE Stochastic analysis in financial and actuarial mathematics 1
105.091 VO Stochastic analysis in financial and actuarial mathematics 2
105.092 UE Stochastic analysis in financial and actuarial mathematics 2
Language
German