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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 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

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

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.

Teaching methods

The lectures will be in-presence, but they will in general be broadcasted and recorded on the course web site

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.