## FIXED INCOME

## 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.

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

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.

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.