## FIXED INCOME

## Syllabus

EN
IT

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

### 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

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.

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.

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.