401-4905-60L  Interest Rate Theory

Semester Autumn Semester 2012
Lecturers J. Muhle-Karbe
Periodicity non-recurring course
Language of instruction English

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

Damir Filipovic, Term structure models -- a graduate course, http://www.springer.com/mathematics/quantitative+financ/book/978-3-540-09726-6
Prerequisites / Notice Up to date information can be found at: http://www.math.ethz.ch/education/bachelor/lectures/hs2012/math/interest