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
- LIBOR Market 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
- Commodity Derivatives
- Pricing Kernel Models
- Mortgage-Backed Securities
MSc Programme in Actuarial Mathematics
MSc Programme in Mathematics-Economics
Knowledge of
- 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 Finkont or Mathematical Finance
- ECTS
- 7,5 ECTS
- Type of assessment
-
Oral examination, 25 minutes (no preparation time)
- Type of assessment details
- Oral examination with prepared slides
- Exam registration requirements
-
One mandatory assignment must be approved to qualify for the exam.
- Aid
- All aids allowed
- Marking scale
- 7-point grading scale
- Censorship form
- No external censorship
Several internal examiners
- Re-exam
-
Same as the ordinary exam.
If the mandatory assignment was not approved before the ordinary exam it must be (re)submitted and approved. It must be handed in four weeks before the beginning of the reexam week, in order to be approved three weeks before the beginning of the re-exam week.
Criteria for exam assessment
The student should convincingly and accurately demonstrate the knowledge, skills and competences described under Intended 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 4
- Schedulegroup
-
A
- Capacity
- No limitation – unless you register in the late-registration period (BSc and MSc) or as a credit or single subject student.
- Studyboard
- Study Board of Mathematics and Computer Science
Contracting department
- Department of Mathematical Sciences
Contracting faculty
- Faculty of Science
Course Coordinator
- David Glavind Skovmand (8-5c74787f766a776d49766a7d7137747e376d74)
Teacher
David Skovmand and Jacob Bjerre Skov
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