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.