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

Interest rate theory for CAS 2017-18

As a main reference for this lecture we shall use the comprehensive book Derivatives Analytics with Python: Data Analysis, Models, Simulation, Calibration and Hedging. The book contains of course much more information and is by no means a pre-requisite.

As a preparation for the lecture course please just get acquainted with Jupyter notebooks: I shall use notebooks for the presentation based on my lectures slides on interest rate theory. Several pieces of code from as well as the relevant notebook (use Python2 kernel) can be found under CAS_interest_rates_20181207 in html version of under CAS_interest_rates_20181207 as ipython notebook. Also yield curve data to run the yield curve experiments are provided. If you need information on the current Euro area yield curves, please take a look at the webpage of ECB.

Notice that only the material on binomal models, proper choice of numeraire and the different notions from interest rate markets is essential for the exam. The further material in the notes is supplementary.

The goal of the lecture to provide a basic knowledge in interest rate modeling as well as concrete, high level and industry relevant implementations of this knowledge. Even if one is not in programming Python so far, it will help to sharpen intuition on the material and cover the relevant ideas by going through the course notebooks.

If there are any further questions do not hesitate to contact me.