ETH Zürich - D-MATH - SFG (Stochastic Finance Group) - HOME - update on 2022-12-29

Interest rate theory

Some lecture slides and the catalogue of possible questions for the oral exam can be found here. A reduced version of the lecture's content including some illustrative R-code can be found here.

Matlab code for affine LIBOR models can be found here as a zip-file: it contains three illustrative implementations on affine LIBOR models (two on CIR, one on VG, in comparision to Black's formula). Matlab code for the SABR model and local volatility models can be found here as a zip-file.

We mainly use R for numerical implementations, code can be found here. You can install R on your computer via CRAN. Load the code into R and run the function with the appropriate parameters fixed. Usually default values of parameters are provided.