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.

Mode of delivery

face to face

Type

compulsory

Planned learning activities and teaching methods

Interactive teaching (lecture and discussion), examples during the lectures with MS Excel, three take home exercises with MS Excel

Assessment methods and criteria

The course assessment consists of three scheduled exercises (10 points, 10 points, and 13 points), a quiz during the course (7 points) and a written final exam (60 points).

Prerequisites and co-requisites

Courses of the 1st semester

Infos

Degree programme

Quantitative Asset and Risk Management (Master)

Cycle

Master

ECTS Credits

2.00

Language of instruction

English

Curriculum

Part-Time

Academic year

2024

Semester

2 SS

Incoming

Yes

Learning outcome

After the successful completion of the course, students will be able to quote and use stochastic calculus; they can approach and solve simple stochastic integrals and stochastic differential equations and implement Monte Carlo simulations. 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.

Course code

0613-09-01-BB-EN-14

Asset Class Interest Rate Products