Workgroup Financial Mathematics

Breadcrumb Navigation


Finanzmathematik III

Prof. Dr. Francesca BiaginiJacopo Mancin

Schedule and Venue

Prof. Dr. Francesca Biagini

 Tue 12.00 - 14.00

 Wed 10.00 - 12.00

 Room B 006

 Room A 027

Jacopo Mancin

 Thu 08.00 - 10.00

 Supplementary Exercises

 Tue 14.07.2015   12.00 - 16.00

 Room B 006

Final Written Exam

Retake Exam

 Tue 21.07.2015  

 09.00 - 11.00


 Wed 07.10.2015

 09.00 - 11.00

 Room B 006



 Room B 006

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).

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.