401-4905-60L
Interest Rate Theory
Semester | Autumn Semester 2012 |
Lecturers | J. Muhle-Karbe |
Periodicity | non-recurring course |
Language of instruction | English |
Courses
Catalogue data
Abstract | We introduce and discuss all important theoretical and numerical methods and models in interest rate theory. |
Objective | LIBOR market models, HJM models, affine models, pricing and hedging, numerical methods, calibration |
Literature | Damiano Brigo, Fabio Mercurio, Interest Rate Models -- Theory and Practice Link
Damir Filipovic, Term structure models -- a graduate course, Link |
Prerequisites / Notice | Up to date information can be found at: Link |
Performance assessment
Performance assessment information (valid until the course unit is held again) |
Performance assessment as a semester course |
ECTS credits | 8 credits |
Examiners | J. Muhle-Karbe |
Type | session examination |
Language of examination | English |
Repetition | The performance assessment is offered every session. Repetition possible without re-enrolling for the course unit. |
Mode of examination | oral 20 minutes |
This information can be updated until the beginning of the semester; information on the examination timetable is binding. |
Learning materials
No public learning materials available. |
Only public learning materials are listed. |
Groups
No information on groups available. |
Restrictions
There are no additional restrictions for the registration. |
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