401-4905-60L  Interest Rate Theory

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


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
http://www.springer.com/mathematics/quantitative+finance/book/978-3-540-22149-4

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