News Contact People Teaching Current Lectures Former Lectures Actuarial Education Executive Seminars Diploma Theses Practical Courses Competences/ Research Cooperations Press Disclaimer

Lecture: FIM: Fixed Income Markets Lecturer: Prof. Dr. Rudi Zagst Tutor: Stephan Höcht Hours: Lecture 2 h Case Study 1 h Lecture: Augsburg Exercises: Date of case study presentation is to be announced Audience: Finance and Information Management Requirements: Continuous Time Finance Recommendation: Major program Finance Content: Coupon Bonds Forward Agreement on Coupon Bonds Modeling of Interest Rate Markets Pricing of Contingent Claims Short-Rate Models Heath-Jarrow-Morton Approach Multi-Factor Models LIBOR Market Models Interest-Rate Futures Interest-Rate Swaps Interest-Rate Options Certificate: Evaluation of case study Skriptum: Yes 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 Materials