Term Structure Models
Course content
This course gives the student an in depth overview of dynamic arbitrage free models of the term structure of interest rates in continuous time. The course will focus both on theoretical aspects as well as the practical implementation of the models.
Topics will include
- Pricing and risk managing interest rate derivatives i.e. swaps, futures, caps, swaptions etc.
- Affine Processes and Affine Term Structure Models.
- The Heath-Jarrow-Morton framework
- Multicurve Models
- Pricing Kernel Models.
- An overview of market and benchmark rates such as xIBOR, RFR and other money market rates
Selected topics (may change from year to year)
- Estimation of term structure models using the Kalman filter
- xVA
- Credit, liquidity and roll-over-risk
- Jumps in interest rates
- LIBOR in transition
- LIBOR Market Model
- Mortgage-Backed Securities.
MSc Programme in Actuarial Mathematics
MSc Programme in Mathematics-Economics
Knowledge of the
- The mathematical details of selected arbitrage free models of interest rates
- Market structure and institutional details
Skills
- Apply change-of-numeraire techniques for pricing interest rate derivatives
- Ability to implement pricing and risk management models in a high-level programming language e.g. Matlab, R or Python.
- Applying Fourier methods, Monte-Carlo methods and solution of ordinary differential equations, with a view towards solving term structure models.
Competencies
- Ability to read and understand the latest litterature in the field of mathematical term structure modelling
- Assessing the strengths and weaknesses of mathematical financial model
5 hours per week of lectures and tutorials.
Selected lecture notes and articles. See Absalon for a list of course literature
Knowledge of continuous time finance at the level of Finkon1.
- ECTS
- 7,5 ECTS
- Type of assessment
-
Oral examination, 25 minutes
- Type of assessment details
- Oral examination with prepared slides 25 minutes, no preparation.
- Aid
- All aids allowed
- Marking scale
- 7-point grading scale
- Censorship form
- No external censorship
Several internal examiners
Criteria for exam assessment
The student must, in a satisfactory way, demonstrate that he/she has mastered the learning outcome.
Single subject courses (day)
- Category
- Hours
- Lectures
- 35
- Preparation
- 140
- Project work
- 30
- Exam
- 1
- English
- 206
Kursusinformation
- Language
- English
- Course number
- NMAK22016U
- ECTS
- 7,5 ECTS
- Programme level
- Full Degree Master
- Duration
-
1 block
- Placement
- Block 1
- Schedulegroup
-
A
- Capacity
- No restrictions/no limitations
The number of seats may be reduced in the late registration period - Studyboard
- Study Board of Mathematics and Computer Science
Contracting department
- Department of Mathematical Sciences
Contracting faculty
- Faculty of Science
Course Coordinator
- David Glavind Skovmand (8-5870747b72667369457266796d33707a336970)
Teacher
David Skovmand and Jacob Bjerre Skov
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Courseinformation of students