Picture of Egor Pifagorov
Josef Teichmann, ETH, Zurich
by Egor Pifagorov - Saturday, 20 April 2013, 06:19 PM
Discrete Time Theory of Term Structure Models
24.04, 25.04, 26.04 at 14:00; 14-th line, room 413

Abstract: Stochastically evolving term structures of prices appear in
interest rate theory, credit risk theory and option pricing.
We present the discrete time version of this theory, which can also be
regarded as useful discretization theory of a continuous time theory.

Lecture 1: No arbitrage in discrete time for multi-period models.
Lecture 2: Term structures of interest rates in discrete time, Term structures of option prices in discrete time.
Lecture 3: Dynamics of term structures in discrete time, finite
dimensional realizations.

Prerequisities: Probability theory in discrete time and some
stochastic analysis