EN
IT
Obiettivi Formativi
Il corso fornisce una conoscenza di base della teoria e della pratica dei mercati del reddito fisso.
CONOSCENZA E COMPRENSIONE
Gli studenti avranno una panoramica delle convenzioni di mercato e degli strumenti analitici per i titoli a reddito fisso e i derivati, come i futures sull'eurodollaro e gli swap sui tassi di interesse.
APPLICAZIONE DELLA CONOSCENZA E COMPRENSIONE
Gli studenti applicheranno le proprie conoscenze per risolvere problemi rilevanti relativi ai mercati del reddito fisso, implementando modelli su Matlab.
AUTONOMIA DI GIUDIZIO
Gli studenti saranno in grado di confrontare diverse strategie e decisioni finanziarie.
CAPACITÀ COMUNICATIVE
Gli studenti discuteranno le principali idee e i risultati appresi.
Learning Objectives
The course provides a basic knowledge of the theory and practice of Fixed Income Markets.
KNOWLEDGE AND UNDERSTANDING
Students will have an overview of the market conventions, of the analytical tools for fixed income securities and derivatives, such as Eurodollar futures and Interest Rate swaps.
APPLYING KNOWLEDGE AND UNDERSTANDING
Students will apply their knowledge to solve relevant problems related to fixed income markets, by implementing models on Matlab.
MAKING JUDGMENTS
Students will be able to compare different financial strategies and decisions.
COMMUNICATIONS SKILLS
Students will discuss the main ideas and results learned.
Prerequisiti
Mathematics, Statistic, Coding
Prerequisites
Mathematics, Statistics, Coding
Programma
Week 1: BASICS
Government Debt, Money Market, Repos, MBS, ABS, Derivatives
Discount Factors, Interest Rates, The Term Structure of Interest Rates
Week 2: INTEREST RATE RISK MANAGEMENT
Duration, Immunization, Asset-Liability Management
Week 3: INTEREST RATE DERIVATIVES
Forward, Swaps, Futures, Options
Week 4: INFLATION AND MONETARY POLICIES
The role of the central bank. Forecasting and interpreting the term structure.
Week 5: TERM STRUCTURE MODEL IN DISCRETE TIME
One-step binomial trees, multi-step binomial trees, Risk-neutral trees.
TERM STRUCTURE MODELS IN CONTINUOUS TIME
Vasicek and Cox-Ingersoll-Ross models
Program
Week 1: BASICS
Government Debt, Money Market, Repos, MBS, ABS, Derivatives
Discount Factors, Interest Rates, The Term Structure of Interest Rates
Week 2: INTEREST RATE RISK MANAGEMENT
Duration, Immunization, Asset-Liability Management
Week 3: INTEREST RATE DERIVATIVES
Forward, Swaps, Futures, Options
Week 4: INFLATION AND MONETARY POLICIES
The role of the central bank. Forecasting and interpreting the term structure.
Week 5: TERM STRUCTURE MODEL IN DISCRETE TIME
One-step binomial trees, multi-step binomial trees, Risk-neutral trees.
Week 6: TERM STRUCTURE MODELS IN CONTINUOUS TIME
Vasicek and Cox-Ingersoll-Ross models
Testi Adottati
Veronesi, P. (2010). Fixed Income Securities. Wiley
Books
Veronesi, P. (2010). Fixed Income Securities. Wiley
Bibliografia
Veronesi, P. (2010). Fixed Income Securities. Wiley
Bibliography
Veronesi, P. (2010). Fixed Income Securities. Wiley
Modalità di svolgimento
Si terranno tre lezioni a settimana con modalità di insegnamento frontale e una esercitazione in modalità “flipped classroom” con la partecipazione attiva degli studenti.
Teaching methods
Three lessons per week will be held with frontal teaching mode and one exercise in “flipped classroom” mode with the active participation of the students.
Regolamento Esame
L'esame consisterà in un colloquio orale e in una prova scritta. Gli studenti sono tenuti a partecipare attivamente al corso, lavorando settimanalmente a compiti assegnati a casa. Riceveranno punti bonus che saranno aggiunti al voto d'esame per ottenere il voto finale del corso. I punti bonus saranno validi solo fino alla fine della sessione d'esame estiva.
Criteri per la formulazione del giudizio espresso in trentesimi:
o Non idoneo: importanti carenze e/o inaccuratezze nella conoscenza e comprensione degli argomenti; limitate capacità di analisi e sintesi, frequenti generalizzazioni.
o 18-20: conoscenza e comprensione degli argomenti appena sufficiente con possibili imperfezioni; capacità di analisi sintesi e autonomia di giudizio sufficienti.
o 21-23: Conoscenza e comprensione degli argomenti routinaria; Capacità di analisi e sintesi corrette con argomentazione logica coerente.
o 24-26: Discreta conoscenza e comprensione degli argomenti; buone capacità di analisi e sintesi con argomentazioni espresse in modo rigoroso.
o 27-29: Conoscenza e comprensione degli argomenti completa; notevoli capacità di analisi, sintesi. Buona autonomia di giudizio.
o 30-30L: Ottimo livello di conoscenza e comprensione degli argomenti. Notevoli capacità di analisi e di sintesi e di autonomia di giudizio. Argomentazioni espresse in modo originale.
Exam Rules
The exam will consist of an oral interview and a written test.
Students are expected to actively participate in the course, by working on weekly home assignments. The students will receive bonus points that will be added to their exam grade to get the final grade of the course. The bonus points will only be valid until the end of the summer exam session.
Criteria for the formulation of the evaluation on a scale of 30:
o Unsuitable: significant deficiencies and/or inaccuracies in knowledge and understanding of the topics; limited capacity for analysis and synthesis, frequent generalizations.
o 18-20: barely sufficient knowledge and understanding of the topics with possible imperfections; sufficient capacity for analysis, synthesis, and autonomy of judgement.
o 21-23: Routine knowledge and understanding of the topics; Correct analysis and synthesis skills with coherent logical argumentation.
o 24-26: Fair knowledge and understanding of the topics; good capacity for analysis and synthesis with rigorously expressed arguments.
o 27-29: Comprehensive knowledge and understanding of the topics; Considerable ability to analyze, synthesize. Good autonomy of judgement.
o 30-30L: Excellent level of knowledge and understanding of the topics. Remarkable analytical and synthetic skills and independent judgement. Arguments expressed in an original manner.
EN
IT
Obiettivi Formativi
Il corso fornisce una conoscenza di base della teoria e della pratica dei mercati del reddito fisso. Al termine del corso gli studenti avranno una panoramica delle convenzioni di mercato, degli strumenti analitici per i titoli a reddito fiisso e derivati, come i futures Eurodollar e gli swap su tassi di interesse. Gli studenti applicheranno le loro conoscenze per risolvere i problemi rilevanti relativi ai mercati del reddito fisso, implementando modelli su Matlab.
Learning Objectives
The course provides a basic knowledge of the theory and practice of Fixed Income Markets.
Upon completion of the course students will have an overview of the market conventions, of the analytical tools for fixed income securities and derivatives, such as Eurodollar futures and Interest Rate swaps.
Students will apply their knowledge to solve relevant problems related to fixed income markets, by implementing models on Matlab.
Prerequisiti
Mathematics, Statistic, Coding
Prerequisites
Mathematics, Statistics, Coding
Programma
AN INTRODUCTION TO FIXED INCOME MARKETS
Government Debt, Money Market, Repos, MBS, ABS, Derivatives
BASICS OF FIXED INCOME SECURITIES
Discount Factors, Interest Rates, The Term Structure of Interest Rates
INTEREST RATE RISK MANAGEMENT
Duration, Immunization, Asset-Liability Management
INTEREST RATE DERIVATIVES
Forward, Swaps, Futures, Options
INFLATION AND MONETARY POLICIES
The role of the central bank. Forecasting and interpreting the term structure.
TERM STRUCTURE MODELS IN CONTINUOUS TIME
Vasicek and Cox-Ingersoll-Ross models
Program
AN INTRODUCTION TO FIXED INCOME MARKETS
Government Debt, Money Market, Repos, MBS, ABS, Derivatives
BASICS OF FIXED INCOME SECURITIES
Discount Factors, Interest Rates, The Term Structure of Interest Rates
INTEREST RATE RISK MANAGEMENT
Duration, Immunization, Asset-Liability Management
INTEREST RATE DERIVATIVES
Forward, Swaps, Futures, Options
INFLATION AND MONETARY POLICIES
The role of the central bank. Forecasting and interpreting the term structure.
TERM STRUCTURE MODELS IN CONTINUOUS TIME
Vasicek and Cox-Ingersoll-Ross models
Testi Adottati
Veronesi, P. (2010). Fixed Income Securities. Wiley
Books
Veronesi, P. (2010). Fixed Income Securities. Wiley
Bibliografia
Veronesi, P. (2010). Fixed Income Securities. Wiley
Bibliography
Veronesi, P. (2010). Fixed Income Securities. Wiley
Modalità di svolgimento
Generalmente si terranno tre lezioni a settimana, delle quali due saranno impartite in modalità frontale, e una in modalità “flipped classroom” con la partecipazione attiva degli studenti.
Teaching methods
There will be three weekly lectures. One lecture per week will be a "flipped classroom" with the active participation of the students.
Regolamento Esame
The exam will consist of an oral interview and a written test.
Students are expected to actively participate to the course, by working on weekly home assignements. The students will receive bonus points that will be added to their exam grade to get the final grade of the course. The bonus points will only be valid only until the end of the summer exam session.
Exam Rules
The exam will consist of an oral interview and a written test.
Students are expected to actively participate to the course, by working on weekly home assignements. The students will receive bonus points that will be added to their exam grade to get the final grade of the course. The bonus points will only be valid only until the end of the summer exam session.
EN
IT
Obiettivi Formativi
Il corso fornisce una conoscenza di base della teoria e della pratica dei mercati del reddito fisso. Al termine del corso gli studenti avranno una panoramica delle convenzioni di mercato, degli strumenti analitici per i titoli a reddito fiisso e derivati, come i futures Eurodollar e gli swap su tassi di interesse. Gli studenti applicheranno le loro conoscenze per risolvere i problemi rilevanti relativi ai mercati del reddito fisso, implementando modelli su Matlab.
Learning Objectives
The course provides a basic knowledge of the theory and practice of Fixed Income Markets.
Upon completion of the course students will have an overview of the market conventions, of the analytical tools for fixed income securities and derivatives, such as Eurodollar futures and Interest Rate swaps.
Students will apply their knowledge to solve relevant problems related to fixed income markets, by implementing models on Matlab.
Prerequisiti
Mathematics, Statistic, Coding
Prerequisites
Mathematics, Statistics, Coding
Programma
AN INTRODUCTION TO FIXED INCOME MARKETS
Government Debt, Money Market, Repos, MBS, ABS, Derivatives
BASICS OF FIXED INCOME SECURITIES
Discount Factors, Interest Rates, The Term Structure of Interest Rates
INTEREST RATE RISK MANAGEMENT
Duration, Immunization, Asset-Liability Management
INTEREST RATE DERIVATIVES
Forward, Swaps, Futures, Options
INFLATION AND MONETARY POLICIES
The role of the central bank. Forecasting and interpreting the term structure.
TERM STRUCTURE MODELS IN CONTINUOUS TIME
Vasicek and Cox-Ingersoll-Ross models
Program
AN INTRODUCTION TO FIXED INCOME MARKETS
Government Debt, Money Market, Repos, MBS, ABS, Derivatives
BASICS OF FIXED INCOME SECURITIES
Discount Factors, Interest Rates, The Term Structure of Interest Rates
INTEREST RATE RISK MANAGEMENT
Duration, Immunization, Asset-Liability Management
INTEREST RATE DERIVATIVES
Forward, Swaps, Futures, Options
INFLATION AND MONETARY POLICIES
The role of the central bank. Forecasting and interpreting the term structure.
TERM STRUCTURE MODELS IN CONTINUOUS TIME
Vasicek and Cox-Ingersoll-Ross models
Testi Adottati
Veronesi, P. (2010). Fixed Income Securities. Wiley
Books
Veronesi, P. (2010). Fixed Income Securities. Wiley
Modalità di svolgimento
Generalmente si terranno tre lezioni a settimana, delle quali due saranno impartite in modalità frontale, e una in modalità “flipped classroom” con la partecipazione attiva degli studenti.
Teaching methods
There will be three weekly lectures. One lecture per week will be a "flipped classroom" with the active participation of the students.
Regolamento Esame
The exam will consist of an oral interview and a written test.
Students are expected to actively participate to the course, by working on weekly home assignements. The students will receive bonus points that will be added to their exam grade to get the final grade of the course. The bonus points will only be valid only until the end of the summer exam session.
Exam Rules
The exam will consist of an oral interview and a written test.
Students are expected to actively participate to the course, by working on weekly home assignements. The students will receive bonus points that will be added to their exam grade to get the final grade of the course. The bonus points will only be valid only until the end of the summer exam session.
EN
IT
Obiettivi Formativi
Il corso fornisce una conoscenza di base della teoria e della pratica dei mercati del reddito
fisso. Al termine del corso gli studenti avranno la conoscenza e la comprensione delle
convenzioni di mercato, degli strumenti analitici per i titoli a reddito fiisso e derivati, come i
futures Eurodollar e gli swap su tassi di interesse. Applicheranno la loro conoscenza e
comprensione a problemi prarici relativi ai mercati del reddito fisso, implementando modelli
su Matlab. Eserciteranno la loro autonomia di giudizio attraverso il confronto di diverse
possibilità di investimento. Affineranno le loro abilità comunicative illustrando le strategie di
trading, i modelli, e gli strumenti utilizzati. Acquisiranno la capacità di apprendere il
materiale del corso in modo indipendente.
Learning Objectives
The course provides a basic knowledge of the theory and practice of Fixed Income
Markets.
Upon completion of the course students will get knowledge and understanding of the
market conventions, of the analytical tools for fixed income securities and derivatives, such
as Eurodollar futures and Interest Rate swaps.
They will apply their knowledge and understanding to practical problems arising from fixed
income markets, often by developing their own code using Matlab. They will make
judgments by comparing different investment opportunities. They will enhance their
communication skills by explaining trading strategies, models and instruments. They will get
learning skills to understand the course material by independent study
Prerequisiti
Mathematics, Statistic, Coding
Prerequisites
Mathematics, Statistics, Coding
Programma
AN INTRODUCTION TO FIXED INCOME MARKETS
Government Debt, Money Market, Repos, MBS, ABS, Derivatives
BASICS OF FIXED INCOME SECURITIES
Discount Factors, Interest Rates, The Term Structure of Interest Rates
INTEREST RATE RISK MANAGEMENT
Duration, Immunization, Asset-Liability Management
INTEREST RATE DERIVATIVES
Forward, Swaps, Futures, Options
INFLATION AND MONETARY POLICIES
The role of the central bank. Forecasting and interpreting the term structure.
TERM STRUCTURE MODELS IN CONTINUOUS TIME
Vasicek and Cox-Ingersoll-Ross models
Program
AN INTRODUCTION TO FIXED INCOME MARKETS
Government Debt, Money Market, Repos, MBS, ABS, Derivatives
BASICS OF FIXED INCOME SECURITIES
Discount Factors, Interest Rates, The Term Structure of Interest Rates
INTEREST RATE RISK MANAGEMENT
Duration, Immunization, Asset-Liability Management
INTEREST RATE DERIVATIVES
Forward, Swaps, Futures, Options
INFLATION AND MONETARY POLICIES
The role of the central bank. Forecasting and interpreting the term structure.
TERM STRUCTURE MODELS IN CONTINUOUS TIME
Vasicek and Cox-Ingersoll-Ross models
Testi Adottati
Veronesi, P. (2010). Fixed Income Securities. Wiley
Books
Veronesi, P. (2010). Fixed Income Securities. Wiley
Bibliografia
The textbook is Veronesi, P. (2010). Fixed Income Securities. Wiley
other references are indicated in the book.
Additional material will be obtained from the websites of ECB, FED, SIFMA, etc.
Bibliography
The textbook is Veronesi, P. (2010). Fixed Income Securities. Wiley
other references are indicated in the book.
Additional material will be obtained from the websites of ECB, FED, SIFMA, etc.
Modalità di svolgimento
Lezioni in presenza con possibilità di seguire anche in remoto
Teaching methods
The lectures will be in-presence, but they will in general be broadcasted and recorded on the course web site
Regolamento Esame
La valutazione dello studente prevede compiti a casa con frequenza settimanale, una prova
finale scrittta e un colloquio orale.
Nei compiti a casa e nell’esame scritto finale viene richiesto di applicare la comprensione
della teoria alla risoluzione di problemi teorici e pratici, spesso tramite l’uso di codici
sviluppatli dagli studenti. La capacità di giudizio verrà valutata attraverso il confronto tra
diverse opportunità di investimento. Le capacità comunicative verranno verificate tramite
la prova orale e valutando la qualità delle prove scritte.
Exam Rules
Student evaluation consists of weeky assignments, a written exam and a final discussion.
The assignments and the final exam will ask to apply the knowledge to the solve theoretical
and practical problems, often developing their own computer code. The ability to make
judgement will be assessed by comparing different investment opportunities.
Communication skill will be assessed in the final discussion and in the quality of the written
elaborates.
EN
IT
Aggiornato A.A. 2021-2022
The course provides a basic knowledge of the theory and practice of Fixed Income Markets.
Upon completion of the course students will know the market conventions and of the basic analytical tools for fixed income securities, like different kind of bonds and for its derivatives, such as repo, futures, Interest Rate swaps, caps, floors and swaptions.
Students will apply their knowledge to solve relevant problems related to fixed income markets, by implementing models on Matlab.
The exam will consist on an oral interview and a written test.
References:
Veronesi, P. (2010). Fixed Income Securities. Wiley
Sundaresan, S. (2009). Fixed income markets and their derivatives. Academic Press.
Program
Part 1: Institutions and conventions
Overview of Fixed Income Markets
Part 2: Analytics of Fixed Income Markets Bond
Mathematical models for the Yield Curve.
Arbitrage pricing
Part 3: Fixed Income Derivatives
Interest Rate Swaps
Futures Contracts
Caps and Floors
Swaptions
Aggiornato A.A. 2021-2022
The course provides a basic knowledge of the theory and practice of Fixed Income Markets.
Upon completion of the course students will know the market conventions and of the basic analytical tools for fixed income securities, like different kind of bonds and for its derivatives, such as repos, futures, Interest Rate swaps, caps, floors and swaptions.
Students will apply their knowledge to solve relevant problems related to fixed income markets, by implementing models on Matlab.
The exam will consist on an oral interview and a written test.
References:
Veronesi, P. (2010). Fixed Income Securities. Wiley
Sundaresan, S. (2009). Fixed income markets and their derivatives. Academic Press.
Program
Part 1: Institutions and conventions
Overview of Fixed Income Markets
Repos, futures, swaps.
Part 2: Analytics of Fixed Income Markets Bond
Mathematical models for the Yield Curve.
Arbitrage pricing
Part 3: Fixed Income Derivatives
Stochastic models for the dynamical evolution of the term structure
Interest Rate Swaps
Options on Bonds
Caps and Floors
Swaptions
EN
IT
Aggiornato A.A. 2020-2021
The course provides a basic knowledge of the theory and practice of Fixed Income Markets.
Upon completion of the course students will have an overview of the market conventions, of the analytical tools for fixed income securities and derivatives, such as Eurodollar futures and Interest Rate swaps.
Students will apply their knowledge to solve relevant problems related to fixed income markets, by implementing models on Matlab.
References:
Veronesi, P. (2010). Fixed Income Securities. Wiley
Sundaresan, S. (2009). Fixed income markets and their derivatives. Academic Press.
Program
Part 1: Institutions and conventions
Overview of Fixed Income Markets
Part 2: Analytics of Fixed Income Markets Bond
Mathematical models for the Yield Curve.
Arbitrage pricing
Part 3: Fixed Income Derivatives
Interest Rate Swaps
Futures Contracts
Aggiornato A.A. 2020-2021
The course provides a basic knowledge of the theory and practice of Fixed Income Markets.
Upon completion of the course students will have an overview of the market conventions, of the analytical tools for fixed income securities and derivatives, such as Eurodollar futures and Interest Rate swaps.
Students will apply their knowledge to solve relevant problems related to fixed income markets, by implementing models on Matlab.
References:
Veronesi, P. (2010). Fixed Income Securities. Wiley
Sundaresan, S. (2009). Fixed income markets and their derivatives. Academic Press.
Program
Part 1: Institutions and conventions
Overview of Fixed Income Markets
Part 2: Analytics of Fixed Income Markets Bond
Mathematical models for the Yield Curve.
Arbitrage pricing
Part 3: Fixed Income Derivatives
Interest Rate Swaps
Futures Contracts
Prof.ssa Lucia Leonelli
