Syllabus/achievement requirements

The syllabus is based on the book: D Filipovic "Term Structure Models - A Graduate Course", Springer Verlag 2009

All exercises and theory taught at lectures are part of the syllabus. In particular,

Chapter 1: all

Chapter 2: sections 2.1, 2.2, 2.3, 2.4, 2.6

Chapter 3: section 3.3.3 (the discussion about Nelson-Siegel family)

Chapter 5: sections 5.1, 5.2, 5.3, 5.4.1, 5.4.2

Chapter 6: 6.1, 6.2, 6.3

Chapter 7: 7.1, 7.2

Chapter 11: 11.1, 11.2, 11.3, 11.4

Expected knowledge "by heart" is Girsanov's theorem THM 4.6, stochastic Fubini THM.6.2 (as well as Fubini-Tonelli), the relationships between short rate, zero-coupon bond price and forward rates, the money market account.