Fixed Income

This course provides a thorough grounding in recent developments in fixed income securities pricing, hedging and portfolio management.

By the end of the course, the students will be familiar with a variety of topics, including: (i) the main determinants of the term-structure of interest rates, (ii) the analysis of the main products traded in credit markets, such as government and corporate bonds, bond options, callable, puttable and convertible bonds, interest rate swaps, caps, floors, and swaptions, and an analysis of the main credit derivatives such as total- return swaps, spread options and credit default swaps; (iii) a few tools used to monitor and manage credit risk, (iv) the process of securitization and the resulting structured products, with particular reference to collateralized debt obligations, N-th to default, and mortgage-based securities.

The source for this course is a comprehensive set of lecture notes, tutorials and case studies, based on Chapters 12 and 13 of Antonio Mele's Lectures on Financial Economics available online from www.antoniomele.org.