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Introduction to Modern Interest Rate Modelling: Multiple Curves and the LIBOR Market Model

Prof. Dr. Christian Fries, Dr. Alessandro Gnoatto, Markus Meister (guest speaker)


Schedule and Venue

October 1, 2015

Morning Session 1
8:30 - 10:00
Morning Session 2
10:30 - 12:00
Afternoon Session 1
14:00 - 15:30
Afternoon Session 2
16:00 - 17:30
quantLab
Room B 121

October 2, 2015

October 15, 2015

Final Exam October 15
during the afternoon sessions

Registration and Contact: A registration for the lectures and exercises is required due to limited places at "quantLab". Please register via email to christian.fries@math.lmu.de until September 25, 2015.


Course Description

This lecture gives an introduction to modern mathematical interest rate modeling. Theory and models are discussed together with applications and implementation.

Selected topics covered during the course, including their object-oriented implementation:

  • Introduction to single curve interest rate theory
  • Interest rate products
  • LIBOR Market Model
  • Negative interest rate regimes
  • Multi-curve interest rate theory: Collateralization, Funding and Basis-Spreads
  • xVA: Valuation Adjustments
  • Portfolio simulation 

References

to be announced.

For whom is this course?

Target Participants: Master students of Mathematics or Business Mathematics.

Pre-requisites: Probability Theory, Finanzmathematik II (Stochastic Calculus).

Applicable credits:  Students will receive 3 ECTS Points upon successful participation that may be attributed to any one of the following modules: WP18/1 for students enrolled in the LMU Master Mathematics programme. WP20, WP22 or WP23 for students enrolled in the LMU Master Business Mathematics (Wirtschaftsmathematik) programme.


Exercises

The course will also include exercise sessions in which you will work hands-on with implementations of the presented techniques and models. Active participation in the exercise sessions is strongly recommended. Correcting your answers and thinking through the exercises is the best preparation for the exam. The solutions need not be submitted, but if you wish them to be corrected, please submit your exercise solutions.

Programming exercises will not be corrected, but students may request a code review together with any of the instructors during the exercise sessions.


Exam

The written exam is open-book, that is, all notes, books, solutions of exercises etc. may be used. Personal electronic devices of any kind are not allowed. To participate, please bring to the exam your ID card or passport and your student card. Please be on time.