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16SS Zinsstruktur- und Kreditrisikomodelle

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Welcome! This page provides information and material for my course Interest Rate and Credit Risk during the summer term 2016.

Important Information  The lecture takes place three times per week in the third part of the term.  The course can be combined with another (2+1)-hour course (e.g., Stochastic Control and Optimization in the forthcoming winter term) to obtain a (4+2)-module.

All material is password protected. You receive the login details in the lecture.




General Information

 There will be three lectures per week on
  • Tuesday at 12.15 in HS10
  • Wednesday at 12.15 in E45
  • Thursday at 12.15 in HS10
and an associated tutorial on
  • Tuesday at 10.15 in E52.

This is an advanced lecture in the Stochastic Processes and Mathematical Finance curriculum. As a prerequisite, you are expected to be familiar with the fundamentals of stochastic processes (e.g., my course Stochastic Processes covers all you need in §1, §3 and §4), and the basics of mathematical finance (e.g., my course Stochastic Analysis and Mathematical Finance, lecture notes available here).

To qualify for the final exam, you are required to attain 50% of the points, and to be able to demonstrate in the exercise groups that you have fully understood the solutions that your group has handed in. You can submit in groups of 2-3 persons.




Course Material

The current version of the lectures notes, as well as sheets with short rate model simulations and calibrations are available here.

Exercise sheets and other relevant material will be made available through Stud.IP




Examinations

Oral examinations are offered on
  • August 1, August 2
  • October 19, October 20.
Please register in Ms. Karpa's office (E113).

Please note: The course must be examined jointly with another (2+1)-hour course to obtain a (4+2)-hour module.