# 401-4905-60L Interest Rate Theory

Semester | Autumn Semester 2014 |

Lecturers | J. Muhle-Karbe |

Periodicity | two-yearly course |

Language of instruction | English |

Abstract | We introduce and discuss the most important models for interest rate markets. Emphasis will be placed both on theoretical foundations and on numerical implementation and calibration. |

Objective | -Gain overview of interest rate markets and the corresponding financial products. -Understand the various modeling approaches used (short-rate models, Heath-Jarrow-Morton models, LIBOR market models). -Get a firm grasp of the underlying theory, and practice numerical implementation of concrete examples. -Learn about extensions that have recently become increasingly important: default risk, multiple yield curves, etc. |

Content | -Gain overview of interest rate markets and the corresponding financial products. -Understand the various modeling approaches used (short-rate models, Heath-Jarrow-Morton models, LIBOR market models). -Get a firm grasp of the underlying theory, and practice numerical implementation of concrete examples. -Learn about extensions that have recently become increasingly important: default risk, multiple yield curves, etc. |

Literature | Damir Filipovic, Term structure models -- a graduate course, http://www.springer.com/mathematics/quantitative+financ/book/978-3-540-09726-6 |

Prerequisites / Notice | -Option pricing and hedging for equity markets as covered, e.g., in "Mathematical Foundations for Finance". -Itô calculus. |