Workgroup Financial Mathematics

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Interest Rate Modeling

Dr. Christoph Wagner


Interest rate modeling is core to fixed income valuation and risk
management. We start with quick review of the fundamentals of interest rate
modeling and fixed income instruments. This is followed by a selection of
short rate models before we treat market models, local vol models and
related topics. Finally, a brief excursion into risk management rounds up
the scope.

Time/Date: Montag 8-10 Uhr

Zielgruppe: fortgeschrittene Bachelor- und Masterstudenten Finanz- und

Vorkenntnisse: Wahrscheinlichkeitstheorie, Finanzmathematik I+II


Interested participants are asked to apply by email as there are only a
limited number of seats available.


  • Andersen, L., Piterbarg, V.: Interest Rate Modeling, Atlantic Financial Press (2010)
  • Brigo, B., Mercurio, F.:Interest Rate Models - Theory and Practice, Springer