ETH Zürich - D-MATH - SFG (Stochastic Finance Group) - HOME - update on 2017-11-01

Interest rate theory for CAS

Some lecture slides and the catalogue of possible questions for the oral exam can be found here.

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