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Syllabus

EN IT

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.


Prerequisites

Mathematics, Statistics, Coding

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

Books

Veronesi, P. (2010). Fixed Income Securities. Wiley

Bibliography

Veronesi, P. (2010). Fixed Income Securities. Wiley

Teaching methods

There will be three weekly lectures. One lecture per week will be a "flipped classroom" with the active participation of the students.

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.