Кто читает:: Международный институт экономики и финансов

Статус:: Курс по выбору

Когда читается:: 2-й курс, 1 семестр

Преподаватель

Соколов Владимир Николаевич

Full 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

use different measures of bond price sensitivity such as duration and convexity
apply the contingent securities pricing methods by replication of the portfolio of the synthetic claims
analyze the pricing techniques and the trading strategies for derivative products

Course Contents

Introduction to the Valuation of Fixed Income Securities
Overview of the Bond Sectors and Instruments. Introduction to Valuation of Fixed Income Securities. Risks Associated with Investing in Bonds. Duration and Convexity Measures based on the Parallel Yield curve Shifts. Bond Portfolio Management
The Science of Term Structure Interest Rate Models
The Term Structure Models of the Short Interest Rates. The No-arbitrage Pricing Models. The Heath-Jarrow-Morton Forward Rate Model.
Valuation of Interest Rate Derivatives
Valuing Bonds with Embedded Options. Futures on the Money Market Instruments. Futures on Bonds, Forward Rate Agreements (FRAs). Interest Rate Swaps. Valuation of Caps and Floors, Swaptions. Valuation of Mortgage Backed Securities. Valuation of Collaterized Debt Obligations (CDOs).

Assessment Elements

Class participation
Home assignments
Mid-term test
Final Exam

Interim Assessment

Interim assessment (1 semester)
0.05 * Class participation + 0.6 * Final Exam + 0.1 * Home assignments + 0.25 * Mid-term test

Bibliography

Recommended Core Bibliography

Fixed Income Securities : Tools for Today's Markets, Tuckman, B., 2002
Hull, J. C. (2017). Options, Futures, and Other Derivatives, Global Edition. [Place of publication not identified]: Pearson. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1538007
Modelling fixed income securities and interest rate options, Jarrow, R. A., 2002

Recommended Additional Bibliography

Day, A. (2015). Mastering Financial Mathematics in Microsoft Excel : A Practical Guide to Business Calculations. [N.p.]: FT Publishing International. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1419395
Fabozzi, F. J. (2002). The Handbook of Financial Instruments. Hoboken, N.J.: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=81949

Магистерская программа «Финансовая экономика»

Fixed Income