STK4530 – Interest Rate Modelling via SPDE's

Schedule, syllabus and examination date

Course content

In the first part of the course we will be acquainted with the basic principles of modern interest rates theory. We will discuss popular interest models with special emphasis on statistical data analysis and calibration. In the second part of the course, we will focus on generalized interest rate models, which are described by stochastic partial differential equations or evolutionary equations.

Learning outcome

After completing the course you will

  • know and understand mathematical concepts and results from stochastic analysis in infinite-dimensional spaces
  • know and understand classical stochastic models for interest rates in connection with bond markets
  • learn how to build stochastic models for the dynamics of term structures of interest rates by using mathematical tools from infinite-dimensional stochastic analysis
  • learn and understand the advantages and deficiencies of the use of infinite-dimensional bond market models compared to classical ones from a practical and methodological point of view
  • learn and understand how to estimate bond market model parameters both in a classical and an infinite-dimensional setting by using empirical data.

Admission to the course

Students admitted at UiO must?apply for courses?in Studentweb. Students enrolled in other Master's Degree Programmes can, on application, be admitted to the course if this is cleared by their own study programme.

Nordic citizens and applicants residing in the Nordic countries may?apply to take this course as a single course student.

If you are not already enrolled as a student at UiO, please see our information about?admission requirements and procedures for international applicants.

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