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Fixed Income Markets

Description

Objectives
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.

People

 

Mele A.

Course director

Pankratov A.

Assistant

Additional information

Semester
Fall
Academic year
2019-2020
ECTS
6
Language
English
Education
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