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.

2018W, 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

  • Yang, Junjian

Institute

Course dates

DayTimeDateLocationDescription
Wed09:00 - 12:0010.10.2018 - 23.01.2019FH Hörsaal 2 Interest rate models and derivatives
Interest rate models and derivatives - Single appointments
DayDateTimeLocationDescription
Wed10.10.201809:00 - 12:00FH Hörsaal 2 Interest rate models and derivatives
Wed17.10.201809:00 - 12:00FH Hörsaal 2 Interest rate models and derivatives
Wed24.10.201809:00 - 12:00FH Hörsaal 2 Interest rate models and derivatives
Wed31.10.201809:00 - 12:00FH Hörsaal 2 Interest rate models and derivatives
Wed07.11.201809:00 - 12:00FH Hörsaal 2 Interest rate models and derivatives
Wed14.11.201809:00 - 12:00FH Hörsaal 2 Interest rate models and derivatives
Wed21.11.201809:00 - 12:00FH Hörsaal 2 Interest rate models and derivatives
Wed28.11.201809:00 - 12:00FH Hörsaal 2 Interest rate models and derivatives
Wed05.12.201809:00 - 12:00FH Hörsaal 2 Interest rate models and derivatives
Wed12.12.201809:00 - 12:00FH Hörsaal 2 Interest rate models and derivatives
Wed19.12.201809:00 - 12:00FH Hörsaal 2 Interest rate models and derivatives
Wed09.01.201909:00 - 12:00FH Hörsaal 2 Interest rate models and derivatives
Wed16.01.201909:00 - 12:00FH Hörsaal 2 Interest rate models and derivatives
Wed23.01.201909:00 - 12:00FH Hörsaal 2 Interest rate models and derivatives

Course registration

Begin End Deregistration end
30.08.2018 00:00 18.11.2018 23:59 18.11.2018 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

Miscellaneous

Language

if required in English