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| Lecturer: |
Prof. Dr. Rudi Zagst
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| Tutor: |
Melanie Ilg
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| Hours: |
Lecture 2 SWS
Exercises 1 SWS
Trading-Seminar 1 SWS (blocked)
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| Lecture: |
Wednesday, 10:15 - 11:45 am, MI HS 3
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| Exercises: |
Wednesday, 14:15 - 15:45 Uhr, MI HS 3
Exercises will be held every two weeks starting on October 24.
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| Audience: |
Finanz- und Wirtschaftsmathematiker
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| Requirements: |
necessary: Stochastik 3
recommended: Continuous Time Finance
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| Content: |
Coupon Bonds
Forward Agreement on Coupon Bonds
Modellierung von Zinsmärkten
Pricing von Contingent Claims
Short-Rate Modelle
Der Heath-Jarrow-Morton Ansatz
Mehr-Faktor Modelle
LIBOR Market Models
Interest-Rate Futures
Interest-Rate Swaps
Interest-Rate Options
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| E-Learning: |
http://pcstatistik15.ma.tum.de/Magellan/default.htm
Login wird in der Vorlesung bekanntgegeben.
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| Certificate: |
Written exam (February 6, 2008)
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| Literature: |
R. Zagst: "Interest Rate Management", Springer Finance, 2002
D. Brigo and F. Mercurio: "Interest-Rate Models: Theory and Practice", Springer Finance, 2001
J.C. Hull: "Options, Futures and other Derivatives", Prentice-Hall, 2000
M. Musiela and M. Rutkowski: "Martingale Methods in Financial Modeling", Vol. 36, Springer, 1997
P. Wilmott: "Introduces Quantitative Finance", John Wiley & Sons, LTD Chichester, 2001
R. Rebonato: "Interest-Rate Option Models", John Wiley & Sons, 1996
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Materialien zu Vorlesung und Übung
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