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From the reviews: “Term-Structure Models is a theoretical text suitable for a graduate students and practitioners . Theoretical exercises are provided at the end.
Table of contents

The lecture provides an introduction to the arbitrage theory of the Bond market and interest rate sensitive derivatives. The following topics will be covered. 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.

Term-Structure Models, A Graduate Course by Damir Filipovic | | Booktopia

Correcting your answers and thinking through the exercises is the best preparation for the exam. The solutions need not be submitted, but if you wish them to be corrected, please submit your exercise solutions. Exercise Handouts: Problem sheets and solutions will be uploaded here during the course.

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Enabling JavaScript in your browser will allow you to experience all the features of our site. Learn how to enable JavaScript on your browser. Changing interest rates constitute one of the major risk sources for banks, insurance companies, and other financial institutions.

Finanzmathematik III

Modeling the term-structure movements of interest rates is a challenging task. This volume gives an introduction to the mathematics of term-structure models in continuous time.

It includes practical aspects for fixed-income markets such as day-count conventions, duration of coupon-paying bonds and yield curve construction; arbitrage theory; short-rate models; the Heath-Jarrow-Morton methodology; consistent term-structure parametrizations; affine diffusion processes and option pricing with Fourier transform: Libor market models: and credit risk. The following topics will be covered. Pre-requisites: a strong command of measure-theoretic probability and stochastic calculus is assumed.

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Term-Structure Models - A Graduate Course

It is assumed that the students attended the lecture Finanzmathematik II. Correcting your answers and thinking through the exercises is the best preparation for the exam.


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  4. The solutions need not be submitted, but if you wish them to be corrected, please submit your exercise solutions. Exercise Handouts: Problem sheets and solutions will be uploaded here during the course. Links and Functions www.