Module Handbook

  • Dynamischer Default-Fachbereich geändert auf MAT

Course MAT-61-12-K-7

Interest Rate Theory (2V, 4.5 LP)

Course Type

SWS Type Course Form CP (Effort) Presence-Time / Self-Study
2 V Lecture 4.5 CP 28 h 107 h
(2V) 4.5 CP 28 h 107 h

Basedata

SWS 2V
CP, Effort 4.5 CP = 135 h
Position of the semester 1 Sem. in WiSe
Level [7] Master (Advanced)
Language [EN] English
Lecturers
+ further Lecturers of the department Mathematics
Area of study [MAT-STO] Stochastics/Statistics/Financial Mathematics
Additional informations
Livecycle-State [NORM] Active

Contents

  • Basics of interest modelling (Bonds and linear products, swaps, caps and floors, bond options, rate of interest options, interest rate term structure curve, interest rates (short rates and forward rates)),
  • Heath–Jarrow–Morton framework (simple example: Ho-Lee model, general HJM drift condition, one- and multidimensional modelling),
  • Short rate models (general one factor-modelling, term structure equation, affine modelling of interest rate structure, Vasicek-, Cox-Ingersoll-Ross- and further models, option pricing model, model calibration),
  • Defaultable bonds (Merton model).

Literature

  • T. Björk: Arbitrage Theory in Continuous Time,
  • D. Brigo, F. Mercurio: Interest Rate Models – Theory and Practice,
  • N. Branger, C. Schlag: Zinsderivate – Modelle und Bewertung.

Materials

Further literature will be announced in the lecture.

References to Course [MAT-61-12-K-7]

Module Name Context
[MAT-61-12A-M-7] Specialization Actuarial and Financial Mathematics P: Obligatory in Obligatory-Modulteil #A 2V, 4.5 LP
[MAT-61-12-M-7] Interest Rate Theory P: Obligatory 2V, 4.5 LP