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.

2019W, VU, 3.0h, 4.0EC

Properties

After successful completion of the course, students are able

to understand the usual methods to model the term structure models (e.g., Short-rate, HJM, LIBOR)
to model the term structures (interest rate)
to evaluate the interest rate derivatives.

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 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)

Oral

Day	Time	Date	Location	Description
Wed	09:00 - 12:00	02.10.2019 - 29.01.2020	FH Hörsaal 2	Interest rate models and derivatives

Interest rate models and derivatives - Single appointments

Day	Date	Time	Location	Description
Wed	02.10.2019	09:00 - 12:00	FH Hörsaal 2	Interest rate models and derivatives
Wed	09.10.2019	09:00 - 12:00	FH Hörsaal 2	Interest rate models and derivatives
Wed	16.10.2019	09:00 - 12:00	FH Hörsaal 2	Interest rate models and derivatives
Wed	23.10.2019	09:00 - 12:00	FH Hörsaal 2	Interest rate models and derivatives
Wed	30.10.2019	09:00 - 12:00	FH Hörsaal 2	Interest rate models and derivatives
Wed	06.11.2019	09:00 - 12:00	FH Hörsaal 2	Interest rate models and derivatives
Wed	13.11.2019	09:00 - 12:00	FH Hörsaal 2	Interest rate models and derivatives
Wed	20.11.2019	09:00 - 12:00	FH Hörsaal 2	Interest rate models and derivatives
Wed	27.11.2019	09:00 - 12:00	FH Hörsaal 2	Interest rate models and derivatives
Wed	04.12.2019	09:00 - 12:00	FH Hörsaal 2	Interest rate models and derivatives
Wed	11.12.2019	09:00 - 12:00	FH Hörsaal 2	Interest rate models and derivatives
Wed	18.12.2019	09:00 - 12:00	FH Hörsaal 2	Interest rate models and derivatives
Wed	08.01.2020	09:00 - 12:00	FH Hörsaal 2	Interest rate models and derivatives
Wed	15.01.2020	09:00 - 12:00	FH Hörsaal 2	Interest rate models and derivatives
Wed	22.01.2020	09:00 - 12:00	FH Hörsaal 2	Interest rate models and derivatives
Wed	29.01.2020	09:00 - 12:00	FH Hörsaal 2	Interest rate models and derivatives

Oral exam and exercises

Begin	End	Deregistration end
05.09.2019 00:00	24.11.2019 23:59	24.11.2019 23:59

Study Code	Obligation	Semester	Precon.	Info
066 405 Financial and Actuarial Mathematics	Mandatory
860 GW Optional Courses - Technical Mathematics	Not specified

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