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.

2022W, VU, 3.0h, 4.0EC
TUWEL

Properties

  • Semester hours: 3.0
  • Credits: 4.0
  • Type: VU Lecture and Exercise
  • Format: Presence

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

  • Presentation of the lecturer(s)
  • Discussion of concrete examples

 

Mode of examination

Oral

Lecturers

Institute

Course dates

DayTimeDateLocationDescription
Thu10:00 - 13:0006.10.2022 - 26.01.2023Sem.R. DB gelb 04 .
Thu10:00 - 13:0022.12.2022 Zoom / siehe TUWEL (LIVE)(Nur) Online via Zoom - siehe TUWEL-Kurs
Interest rate models and derivatives - Single appointments
DayDateTimeLocationDescription
Thu06.10.202210:00 - 13:00Sem.R. DB gelb 04 .
Thu13.10.202210:00 - 13:00Sem.R. DB gelb 04 .
Thu20.10.202210:00 - 13:00Sem.R. DB gelb 04 .
Thu03.11.202210:00 - 13:00Sem.R. DB gelb 04 .
Thu10.11.202210:00 - 13:00Sem.R. DB gelb 04 .
Thu17.11.202210:00 - 13:00Sem.R. DB gelb 04 .
Thu24.11.202210:00 - 13:00Sem.R. DB gelb 04 .
Thu01.12.202210:00 - 13:00Sem.R. DB gelb 04 .
Thu15.12.202210:00 - 13:00Sem.R. DB gelb 04 .
Thu22.12.202210:00 - 13:00 Zoom / siehe TUWEL(Nur) Online via Zoom - siehe TUWEL-Kurs
Thu12.01.202310:00 - 13:00Sem.R. DB gelb 04 .
Thu19.01.202310:00 - 13:00Sem.R. DB gelb 04 .
Thu26.01.202310:00 - 13:00Sem.R. DB gelb 04 .

Examination modalities

Oral exam and exercises

Course registration

Begin End Deregistration end
01.09.2022 00:00 31.10.2022 23:59 30.10.2022 00:59

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

German