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Fixed Income Markets


This course provides a grounding in recent developments in fixed income security pricing, hedging and portfolio management that insists on both conceptual evaluation methods and the many details arising in market practice.

Description / Program
By the end of the course, the students will be familiar with a variety of topics, including (i) the institutions, organization and conduct of the fixed income markets; (ii) the basic techniques to analyze and hedge fixed income products, such as “curve fitting,” “bootstrapping,” duration, convexity, duration-based hedging and asset-liability management; (iii) the analysis of the “destabilizing” effects related to the use of certain fixed income derivative products; (iv) the economic forces, or “factors,” driving the variation in the entire spectrum of interest rates at different maturities; (v) relations between the yield curve and macroeconomic developments; (vi) the main evaluation tools (trees, no arbitrage trees, calibration and continuous time models), applied to a consistent pricing of a wide range of products, including government bonds, corporate bonds (convertible, callable, puttable), plain vanilla interest rate derivatives (interest rate swaps, caps, floors, swaptions, etc.); (vii) the process of securitization and the resulting structured products, with particular reference to collateralized debt obligations and mortgage-based securities; (viii) an overview of the main evaluation models of sovereign default.

Learning Method / Style of Lessons
In class lessons
Exercise Sessions

Exam Style
In class final

Requested Material
References: An extensive and dedicated array of Lecture Notes distributed in class. Parts of these notes are taken from a forthcoming book of the lecturer, and the remaining part results from executive education the lecturer has provided in the last five years in venues such as RISK-USA or Chicago Board Options Exchange.



Mele A.

Course director

Pankratov A.


Additional information

Academic year
Master of Science in Economics in Finance, Core course, Minor in Quantitative Finance, 2nd year

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Master of Science in Economics in Finance, Elective course, Minor in Banking and Finance, 2nd year

Master of Science in Financial Technology and Computing, Elective course, Lecture, 2nd year