Introduction to the LIBOR Market Model and the Valuation of Interest Rate Products: Theory, Modeling and Implementation

(LMU Belegnummer 16536)

Lecture

Thursday March 7th, 2013 14:00-17:30 and Friday March 8th, 2013. 08:30-17:30 (Part 1)

Thursday March 14th, 2013 14:00-17:30 and Friday March 15th, 2013. 08:30-17:30 (Part 2)

LMU München, Mathematisches Institut, Raum B 121, Theresienstraße 39 (B).

Exercises

March, 13th, 2013
08:15-09:45, 10:15-12:45 and 14:15-15:45
March, 20th, 2013
08:15-09:45, 10:15-12:45 and 14:15-15:45

Note

Additional material will be distributed before the first lecture. To guarantee availability, please register for the mailing list by writing an email to email@christian-fries.de.

Agenda (Tentative)

Part 1: Foundations, Single-Curve and Multi-Curve Interest Rate Theory

  1. Risk Neutral Valuation: A Review
  2. Interest Rates (Single Curve Interest Rates Theory)
  3. Simple Interest Rates Products: Linear Products (Single Curve Interest Rates Theory)
  4. Simple Interest Rates Products: European Options (Single Curve Interest Rates Theory)
  5. Collateralization, Funding and Basis-Spreads (Multi-Curve Interest Rates Theory)
  6. Curve Calibration (with object oriented implementation)
  7. The resources for this session (spreadsheet, source code) are available at www.finmath.net/topics/curvecalibration.

Part 2: LIBOR Market Model: Theory and Implementation

  1. LIBOR Market Model: Definition, Drift, Model Parameters (Single Curve Interest Rate Theory)
  2. LIBOR Market Model: Calibration (Single Curve Interest Rate Theory)
  3. Cross-Currency and Hybrid LIBOR Market Model
  4. Discretization and Monte-Carlo Simulation
  5. Object Oriented Implementation The resources for this session (spreadsheet, source code) are available at www.finmath.net/topics/libormarketmodel.
  6. Valuation of Bermudan Option

Updates

Updates to the lecture will also be posted via Twitter from @f2135 using the hashtag #frieslecture.

If you like to receive updates via mail, please write to email@christian-fries.de.

Dates and Location

Location
LMU München, Mathematisches Institut, Raum B 120, Theresienstraße 39 (B).
Dates

Voraussetzungen

Die Vorlesung versucht "self-contained" einige Grundlagen der Finanzmathematik zu wiederholen, davon abgesehen werden Kennnisse der Stochastik / stochastischen Prozesse vorausgesetzt. Die Kenntnis einer objektorientierten Programmiersprache (Java, C++, C#) ist von Vorteil.

Interessentenkreis

Mathematiker, Natur- und Wirtschaftswissenschaftler mit mathematischer Ausrichtung, etc.

Contact

email@christian-fries.de

Literature

Fries, Christian: Mathematical Finance. Theory, Modeling, Implementation. Wiley 2007. ISBN 0-470-04722-4.

Office Hours

by appointment and via

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