Updated A.Y. 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.
Veronesi, P. (2010). Fixed Income Securities. Wiley
Sundaresan, S. (2009). Fixed income markets and their derivatives. Academic Press.
Part 1: Institutions and conventions
Overview of Fixed Income Markets
Part 2: Analytics of Fixed Income Markets Bond
Mathematical models for the Yield Curve.
Part 3: Fixed Income Derivatives
Interest Rate Swaps