Workgroup Financial Mathematics
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Finanzmathematik III

Prof. Dr. Thilo Meyer-Brandis, Hannes Hoffmann


Schedule and Venue

Lectures
Prof. Dr. Thilo Meyer-Brandis

 Tue 12.00 - 14.00

 Thu 10.00 - 12.00

 Room B 006

 Room B 006

Exercises
Hannes Hoffmann

 Thu 08.00 - 10.00

 Room B 006

Supplementary Exercise
Hannes Hoffmann

 Mon, 04.07. 12.00 - 16.00

 Room B 121

Final Written Exam

Retake Exam

 Thu, 14.07.  09.00 - 11.00 s.t.

 Wed, 28.09. 11.00 - 13.00 s.t.

 Room B 006

 Room B 138


The results of the retake exam are now available on the board in front of office B233.


Course Description

The lecture provides an introduction to the arbitrage theory of the Bond market and interest rate sensitive derivatives. The following topics will be covered

  • Introduction to interest rates and interest rate products: Bonds, LIBOR, Swaps, Caps, Floors, Swaptions, Market Conventions.
  • Arbitrage pricing: portfolios, arbitrage, hedging valuation.
  • Short-rate models
  • HJM methodology
  • Forward measures
  • Market models

References

Main reference:
  • D. Filipovic (2009) Term-Structure Models: A Graduate Course (Springer Finance / Springer Finance Textbooks)
Other references:
  • Brigo, D. Mercurio, F. (2006) Interest Rate Models: Theory and Practice: with Smile, Inflation and Credit. 2nd ed. Springer Finance.
  • Björk, T. (2009) Arbitrage Theory in Continuous Time. 3rd ed. Oxford University Press, New York
  • Oksendal. B. (2003) Stochastic Differential Equations: An Introduction with Applications. 6th ed. Springer, Berlin

For whom is this course?

Target Participants: Master students of Business Mathematics or Mathematics.

Pre-requisites: a strong command of measure-theoretic probability and stochastic calculus is assumed. It is assumed that the students attended the lecture Finanzmathematik II. 

Applicable credits: Students may apply the credits from this course to Masterprüfungen Wirtschaftsmathematik (WP37), and Mathematik (WP7).

Final Exams

The exam is a 120-minutes written exam.
It is not allowed to bring other sources of information (e.g. the lecture notes or an additional helping sheet) to the exam.