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Finanzmathematik III

Dr. Alessandro GnoattoJacopo Mancin

Schedule and Venue

Dr. Alessandro Gnoatto
Tue 8.15-9.45 Thu 8.15-9.45 quantLab
Room B121
Jacopo Mancin
Wed 8.15-9.45
Final Written Exam Written Exam, 120 Minutes. Date: 13.02.2014 at 8.00, Date: 20.02.2014 at 9.00 Room B120
An addtional exercise session will be held in the quantLab at 09:00 on the 12 February 2014

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


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).


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.

Exercise Handouts: Problem sheets and solutions will be uploaded here during the course.

Sheet 1 (125 KB, PDF)

Sheet 2 (140 KB, PDF)

Sheet 3 (118 KB, PDF)

Sheet 4 (121 KB, PDF)

Sheet 5 (124 KB, PDF)

Sheet 6 (108 KB, PDF)

Sheet 7 (112 KB, PDF)

Sheet 8 (117 KB, PDF)

Sheet 9 (147 KB, PDF)

Sheet 10 (119 KB, PDF)

Sheet 11 (123 KB, PDF)

Sheet 12 (135 KB, PDF)

Sheet 13 (113 KB, PDF)

Solution 1 (152 KB, PDF)

Solution 2 (154 KB, PDF)

Solution 3 (155 KB, PDF)

Solution 4 (140 KB, PDF)

Solution 5 (149 KB, PDF)

Solution 6 (116 KB, PDF)

Solution 7 (138 KB, PDF)

Solution 8 (135 KB, PDF)

Solution 9 (141 KB, PDF)

Solution 10 (127 KB, PDF)

Solution 11 (128 KB, PDF)

Solution 12 (138 KB, PDF)

Solution 13 (124 KB, PDF)

Smartboard notes

Final Exams

The final written exam (120 Minutes) will take place on 20.02.2014 at 9.00 Room B120