Event

• Bühler, W., Uhrig-Homburg, M., Rendite und Renditestruktur am Rentenmarkt, in Obst/Hintner, Geld-, Bank- und Börsenwesen - Handbuch des Finanzsystems, (2000), S.298-337.
• Sundaresan, S., Fixed Income Markets and Their Derivatives, Academic Press, 3rd Edition, (2009).

Weiterführende Literatur:

• Hull, J., Options, Futures, & Other Derivatives, Prentice Hall, 8th Edition, (2012).

The lecture deals with both German and international bond markets, which are an important source of funding for both the corporate and the public sector. After an overview of the most important bond markets, various definitions of return are discussed. Based on that, the concept of the yield curve is presented. The modelling of the dynamics of the term structure of interest rates provides the theoretical foundation for the valuation of interest rate derivatives, which is discussed in the last part of the lecture.

The objective of this course is to become familiar with national and international bond markets. Therefore, we first have a look at financial instruments that are of particular importance. Thereafter, specific models and methods that allow the evaluation of interest rate derivatives are introduced and applied.

The total workload for this course is approximately 135.0 hours. For further information see German version.

The assessment consists of a written exam following §4, Abs. 2, 1.

• Bühler, W., Uhrig-Homburg, M., Rendite und Renditestruktur am Rentenmarkt, in Obst/Hintner, Geld-, Bank- und Börsenwesen - Handbuch des Finanzsystems, (2000), S.298-337.
• Sundaresan, S., Fixed Income Markets and Their Derivatives, Academic Press, 3rd Edition, (2009).

Elective literature:

• Hull, J., Options, Futures, & Other Derivatives, Prentice Hall, 8th Edition, (2012).