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

Interest rate theory for CAS 2021

Goal of this class is an introduction to interest rate markets (fixed income markets) and a major technique in risk management within these markets, namely change of numeraire.

As a preparation for the lecture course please just get acquainted with Jupyter notebooks: I shall use ipython notebooks for the presentation. Most of the following code runs savely under Python 3.6, Tensorflow 1.8.0 and Keras 2.0.8. You can get to a downloadable .ipynb file by clicking on 'download' in the upper left corner of the jupyter notebook viewer. A version of the lecture can be found at CAS lecture (mind some magic commands when opening, they only work in google colab).

Or you just get a bit acquainted with Google Colab, where you can start the CAS lecture notebook directly: see here CAS lecture on github gists, which can be directly openend and run in Google Colab.

We shall introduce arbitrage-free models in mathematical finance, understand the important change of numeraire technology, see a machine learning way how to hedge claims, learn about the basic of notions of the fixed income world and some basic contracts.

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