Магистратура
2026/2027
Долговые финансовые инструменты
Статус:
Курс по выбору (Финансовая экономика)
Кто читает:
Международный институт экономики и финансов
Где читается:
Международный институт экономики и финансов
Когда читается:
2-й курс, 2 модуль
Охват аудитории:
для своего кампуса
Преподаватели:
Соколов Владимир Николаевич
Язык:
английский
Кредиты:
3
Контактные часы:
40
Course Syllabus
Abstract
Fixed income analysis is an optional course for the master level students at ICEF. The course runs in the first semester. The course consists of three parts. In the first part we cover yield curve calculations and topics in bond portfolio management. The second part of the course introduces the arbitrage-free and equilibrium term structure models. The last part of the course introduces applications of the no-arbitrage theory to pricing derivative securities in different segments of the bond market. We cover a broad range of fixed-income products and contract specifications. The home work material also offers a heuristic introduction to numerical methods and various numerical recipes.
Learning Objectives
- The course offers a thorough understanding of the workings and pricing of the fixed income securities and derivative instruments on fixed income securities.
Expected Learning Outcomes
- analyze the pricing techniques and the trading strategies for derivative products
- apply the contingent securities pricing methods by replication of the portfolio of the synthetic claims
- use different measures of bond price sensitivity such as duration and convexity
Course Contents
- Introduction to the Valuation of Fixed Income Securities
- The Science of Term Structure Interest Rate Models
- Valuation of Interest Rate Derivatives
Assessment Elements
- Class participation
- Home assignments
- Mid-term test
- Final ExamStudents should get at least 35 points for the final exam to pass the course.
Interim Assessment
- 2026/2027 2nd module0.25 * Mid-term test + 0.05 * Class participation + 0.1 * Home assignments + 0.6 * Final Exam
Bibliography
Recommended Core Bibliography
- Fixed Income Securities : Tools for Today's Markets, Tuckman, B., 2002
- Options, futures, and other derivatives, Hull, J. C., 2009
Recommended Additional Bibliography
- Mastering financial mathematics in Microsoft Excel : a practical guide for business calculations, Day, A. L., 2005
- The handbook of financial instruments, , 2002