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| Organizer |
Dr. Pascal Heider, Andreas Rupp |
| Type |
Lecture (2/1) |
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| Contents |
- interest rate models (short rate models, Heath-Jarrow-Morton model)
- interest rate derivatives (swaps, caps, floors, ...)
- LIBOR and swap market models
- calibration to market data
- numerical methods (Monte Carlo, finite differences)
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| Prerequisites |
- Numerik I,II
- Financial Mathematics I
- Programming in C/C++
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|
| Lectures |
- Wednesday 8:00-10:00, Heho 18 room E20
- First lecture: Wednesday, 21.04.2010
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|
| Exam |
- Final Exam: 21.07.2010, 8:00-10:00 in E20
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|
| Exercises |
- Friday 10:00-12:00, Heho 18 room 220
- First exercise: Friday, 30.04., Heho 18 room 220
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| Exercise sheets |
Only accessible from the university intranet or via VPN
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| Material |
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| Literature |
- D. Brigo, F. Mercurio, Interest Rate Models Theory and Practice, Springer 2001
- S. E. Shreve, Stochastic Calculus for Finance II, Springer 2004
- J. C. Hull, Options, Futures and Other Derivatives, Financial Times 2005
- P. Glasserman, Monte Carlo Methods in Financial Engineering, Springer 2003
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| Further information |
|
|
| Andreas Rupp, 06.04.2010 |
Allgemeines
.