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Program

EN IT

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.

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