- The course offers a thorough understanding of the workings and pricing of the fixed income securities and derivative instruments on fixed income securities.
- 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
- Introduction to the Valuation of Fixed Income SecuritiesOverview 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 ModelsThe Term Structure Models of the Short Interest Rates. The No-arbitrage Pricing Models. The Heath-Jarrow-Morton Forward Rate Model.
- Valuation of Interest Rate DerivativesValuing 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).
- Interim assessment (1 semester)0.05 * Class participation + 0.6 * Final Exam + 0.1 * Home assignments + 0.25 * Mid-term test
- 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
- 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