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Interest Rate Theory and Applications

The retake exam of winter term 2017/18 takes place on August, Thursday 9th 2018, at 10-12am, in room 3219.

ATTENTION - change of room! The current information is valid. The exam takes place on March 1st, 2018, at 12-2pm, in room 2121 KGII.


Lecture

 by Dr. Christoph Gerhart
 

  • Tuesdays, 4:00-6:00pm, room 2121 KG II

 The first lecture will take place on Tuesday, October 17th, 2017.

 

The lecture is taught in English.

Tutorial

 

  • Tutorial: Fridays , 12:00 - 2:00pm, room 1221 KGI


 The first tutorial will take place on Friday, October 27th, 2017 and from then on every second week.

Content

This course provides an introduction to fixed income markets. We focus on bootstrapping of yield curves and the pricing of interest-rate sensitive instruments. For this purpose we will meet the most widely used model approaches such as a short-rate, HJM and market models.

The financial crisis causes many changes in the valuation of interest-rate products. For this reason we address the multiple-curve approach that deals with this new market situation.

In addition to the lecture there will be general tutorial where the theoretical methods taught in the lecture will be deepened by exercises as well as practically implemented (mostly in the software R) and applied to real data problems.

 

Link to ILIAS please click here.

 

R preparation course

In a preparation course for R you can acquire the necessary basic knowledge in the programming language R. It will take place in the last week of the semester break. For more information please click here.

 

Exam

The course is offered for the first year in the Finance profile of the M. Sc. Economics program as well as for students of M. Sc. and B. Sc. Mathematics and M. Sc. Volkswirtschaftslehre.

The course accounts for 6 ECTS based on a 120min written exam.

 

Bibliography

Hull, J.C.: Options, Futures, and other Derivatives, 7th ed., Prentice Hall, 2009

Shreve, S.E.: Stochastic Calculus for Finance I: The Binomial Asset Pricing Model, Springer Finance, 2005

Filipovic, D.: Term-Structure Models, Springer Finance, 2009

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