Asset Class Interest Rate Products

Basic stochastic processes and random variables: white noise, Brownian motion, geometric Brownian motion; integrated stochastic processes; stochastic calculus; stochastic differential equations; Monte Carlo simulations; interest rate modeling techniques (analytical and simulation based); data download and data treatments; calibration and application of basic short term interest rate models - such as Ho-Lee model, Vasicek model, Hull-White model and Ito’s diffusion process -; normality tests; pricing interest rate based assets via simulation and analytical techniques; management of interest rate risk on typical asset classes, such as loans, interest rate swaps, interest rate options; risk measures and Numéraire.

Art der Vermittlung

Präsenzveranstaltung

Art der Veranstaltung

Pflichtfach

Empfohlene Fachliteratur

Fratini, Filippo, 2019, Asset Class Interest Rate Products (notes for the course)

Lern- und Lehrmethode

Integrated class

Prüfungsmethode

Students are assessed by the quality of their solutions to scheduled exercises and a final project (30 points), and a final written examination (70 points).

Voraussetzungen laut Lehrplan

Courses of the 1st semester

Schnellinfos

Studiengang

Quantitative Asset and Risk Management (Master)

Akademischer Grad

Master

ECTS Credits

2.00

Unterrichtssprache

Englisch

Studienplan

Berufsbegleitend

Studienjahr, in dem die Lerneinheit angeboten wird

2023

Semester in dem die Lehrveranstaltung angeboten wird

2 SS

Incoming

Ja

Lernergebnisse der Lehrveranstaltung

After the successful completion of the course, students will become familiar with the language of stochastic calculus and Monte Carlo simulations; they will be able to approach and solve simple stochastic integrals and stochastic differential equations. Students will be able to use techniques of stochastic calculus and simulations in order to a) assess the market risk attached to interest rate based assets, b) calibrate interest rate models to market data, and c) correctly price interest rate based assets.

Kennzahl der Lehrveranstaltung

0613-09-01-BB-EN-14