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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
2020W, VU, 3.0h, 4.0EC
TUWEL course
Properties
Semester hours: 3.0
Credits: 4.0
Type: VU Lecture and Exercise
Format: Hybrid
Learning outcomes
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.
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)
Teaching methods
Blackboard presentation
Discussion of concrete examples
Mode of examination
Oral
Lecturers
Yang, Junjian
Institute
E105 Institute of Statistics and Mathematical Methods in Economics
Course dates
Day
Time
Date
Location
Description
Wed
09:30 - 12:30
07.10.2020 - 27.01.2021
Zoom / siehe TUWEL
(LIVE)
.
Show single appointments
Interest rate models and derivatives - Single appointments
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Day
Date
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Location
Description
Wed
07.10.2020
09:30 - 12:30
Zoom / siehe TUWEL
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Wed
14.10.2020
09:30 - 12:30
Zoom / siehe TUWEL
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Wed
21.10.2020
09:30 - 12:30
Zoom / siehe TUWEL
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Wed
28.10.2020
09:30 - 12:30
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Wed
04.11.2020
09:30 - 12:30
Zoom / siehe TUWEL
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Wed
11.11.2020
09:30 - 12:30
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Wed
18.11.2020
09:30 - 12:30
Zoom / siehe TUWEL
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Wed
25.11.2020
09:30 - 12:30
Zoom / siehe TUWEL
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Wed
02.12.2020
09:30 - 12:30
Zoom / siehe TUWEL
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Wed
09.12.2020
09:30 - 12:30
Zoom / siehe TUWEL
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Wed
16.12.2020
09:30 - 12:30
Zoom / siehe TUWEL
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Wed
13.01.2021
09:30 - 12:30
Zoom / siehe TUWEL
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Wed
20.01.2021
09:30 - 12:30
Zoom / siehe TUWEL
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Wed
27.01.2021
09:30 - 12:30
Zoom / siehe TUWEL
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Examination modalities
Oral exam and exercises
Course registration
Begin
End
Deregistration end
03.09.2020 00:00
15.10.2020 23:59
31.10.2020 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
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
Miscellaneous
Course homepage
Language
if required in English