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Interest Rate Theory
| Professor | Prof. Dr. Josef Teichmann | Lectures |
Tuesday 8-10 HG D 3.2 |
| Coordinator |
Dr. Stefan Tappe |
Exercises |
Friday 11-12 HG D 3.2 (A-L) |
Beginning of the lecture: Tuesday, 21.09.2010.
Beginning of the exercises: Friday, 24.09.2010.
Exercises: Click here for information on the exercise classes.
Course description
We introduce and discuss all important theoretical and numerical methods and models in interest rate theory.
Contents
- Interest rates and related contracts
- Short rate models
- No arbitrage theory
- LIBOR market models
- Affine LIBOR models
- The SABR model
- The Heath-Jarrow-Morton (HJM) model
References
- Brigo, D., Mercurio, F. (2006): "Interest rate models: Theory and practice", Springer-Verlag
- Carmona, R., Tehranchi, M. (2006): "Interest rate models: An infinite dimensional stochastic analysis perspective.", Springer-Verlag
- Filipovic, D. (2009): "Term-structure models: A graduate course", Springer-Verlag
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