401-4905-60L  Interest Rate Theory

SemesterAutumn Semester 2012
LecturersJ. Muhle-Karbe
Periodicitynon-recurring course
Language of instructionEnglish



Courses

NumberTitleHoursLecturers
401-4905-60 VInterest Rate Theory3 hrs
Thu10:15-12:00HG E 3 »
Fri10:15-11:00HG D 3.2 »
J. Muhle-Karbe
401-4905-60 UInterest Rate Theory1 hrs
Fri11:15-12:00HG D 3.2 »
11:15-12:00HG D 3.3 »
11:15-12:00HG D 5.1 »
28.09.11:15-12:00HG D 5.3 »
11:15-12:00IFW D 42 »
05.10.11:15-12:00HG D 5.3 »
11:15-12:00IFW D 42 »
19.10.10:15-12:00HG D 5.3 »
10:15-12:00IFW D 42 »
02.11.10:15-12:00HG D 5.3 »
10:15-12:00HG F 26.1 »
16.11.10:15-12:00HG D 5.3 »
10:15-12:00HG F 26.1 »
30.11.10:15-12:00HG D 5.3 »
10:15-12:00HG F 26.1 »
14.12.10:15-12:00HG D 5.3 »
10:15-12:00HG F 26.1 »
J. Muhle-Karbe

Catalogue data

AbstractWe introduce and discuss all important theoretical and numerical methods and models in interest rate theory.
ObjectiveLIBOR market models, HJM models, affine models, pricing and hedging, numerical methods, calibration
LiteratureDamiano Brigo, Fabio Mercurio, Interest Rate Models -- Theory and Practice
Link

Damir Filipovic, Term structure models -- a graduate course, Link
Prerequisites / NoticeUp 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 credits8 credits
ExaminersJ. Muhle-Karbe
Typesession examination
Language of examinationEnglish
RepetitionThe performance assessment is offered every session. Repetition possible without re-enrolling for the course unit.
Mode of examinationoral 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.

Offered in

ProgrammeSectionType
Mathematics BachelorSelection: Financial and Insurance MathematicsWInformation
Mathematics MasterSelection: Financial and Insurance MathematicsWInformation
Quantitative Finance MasterMathematical Methods for FinanceWInformation