On July 30th, 2024, due to an important database update, there will be service interruptions in the Student Self-Service and Workforce Management areas between 8 AM and 11 AM. Thank you for your understanding.

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.

2014W, VU, 3.0h, 4.0EC
TUWEL

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
Wed09:00 - 11:0001.10.2014FH Hörsaal 2 Interest rate models and derivatives
Wed09:00 - 12:3008.10.2014Sem.R. DA grün 05 Interest rate models and derivatives
Wed09:00 - 11:4515.10.2014 - 21.01.2015FH Hörsaal 2 Interest rate models and derivatives
Wed09:00 - 10:0028.01.2015FH Hörsaal 2 Interest rate models and derivatives
Wed10:00 - 11:3028.01.2015FH Hörsaal 2 Interest rate models and derivatives
Interest rate models and derivatives - Single appointments
DayDateTimeLocationDescription
Wed01.10.201409:00 - 11:00FH Hörsaal 2 Interest rate models and derivatives
Wed08.10.201409:00 - 12:30Sem.R. DA grün 05 Interest rate models and derivatives
Wed15.10.201409:00 - 11:45FH Hörsaal 2 Interest rate models and derivatives
Wed22.10.201409:00 - 11:45FH Hörsaal 2 Interest rate models and derivatives
Wed29.10.201409:00 - 11:45FH Hörsaal 2 Interest rate models and derivatives
Wed05.11.201409:00 - 11:45FH Hörsaal 2 Interest rate models and derivatives
Wed12.11.201409:00 - 11:45FH Hörsaal 2 Interest rate models and derivatives
Wed19.11.201409:00 - 11:45FH Hörsaal 2 Interest rate models and derivatives
Wed26.11.201409:00 - 11:45FH Hörsaal 2 Interest rate models and derivatives
Wed10.12.201409:00 - 11:45FH Hörsaal 2 Interest rate models and derivatives
Wed17.12.201409:00 - 11:45FH Hörsaal 2 Interest rate models and derivatives
Wed07.01.201509:00 - 11:45FH Hörsaal 2 Interest rate models and derivatives
Wed14.01.201509:00 - 11:45FH Hörsaal 2 Interest rate models and derivatives
Wed21.01.201509:00 - 11:45FH Hörsaal 2 Interest rate models and derivatives
Wed28.01.201509:00 - 10:00FH Hörsaal 2 Interest rate models and derivatives
Wed28.01.201510:00 - 11:30FH Hörsaal 2 Interest rate models and derivatives

Course registration

Begin End Deregistration end
31.08.2014 00:00 12.10.2014 23:59 12.10.2014 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