Coursebooks 2017-2018

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Fixed income analysis

FIN-505

Lecturer(s) :

Filipovic Damir

Language:

English

Remarque

Only for MA3

Summary

This course provides you with an introduction to the valuation of fixed income securities, the management and hedging of fixed income portfolios and the valuation and usage of fixed income derivatives.

Content

The course covers the valuation, modeling and risk management of fixed income securities and fixed income derivatives such as pure discount bonds, coupon bonds, callable bonds, floating rate notes, interest rate swaps, caps, floors, swaptions.

Keywords

Interest rates, term structure, interest rate risk, bonds, derivatives.

Learning Prerequisites

Required courses

Derivatives

Econometrics

Introduction to finance

Stochastic calculus I

Stochastic calculus II

Learning Outcomes

By the end of the course, the student must be able to:

Transversal skills

Teaching methods

Lectures, exercises, homework

Assessment methods

20% Homework assignments
30% Midterm examination
50% Final examination

 

Midterm and final exams are open book (only lecture notes)

Supervision

Office hours No
Assistants Yes
Forum No

Resources

Virtual desktop infrastructure (VDI)

No

Bibliography

L. Andersen and V. Piterbarg, Interest Rate Modeling, Atlantic Financial Press, 2010.
D. Brigo and F. Mercurio, Interest rate models: Theory and practice, 2nd Edition, Springer Verlag, New York, 2007.
D. Filipovic, Term-Structure Models, Springer Verlag, 2009.

Ressources en bibliothèque
Moodle Link

In the programs

Reference week

 MoTuWeThFr
8-9     
9-10  EXTRANEF_126  
10-11    
11-12    
12-13     
13-14   EXTRANEF_126 
14-15    
15-16     
16-17     
17-18     
18-19     
19-20     
20-21     
21-22     
 
      Lecture
      Exercise, TP
      Project, other

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  • Autumn semester
  • Winter sessions
  • Spring semester
  • Summer sessions
  • Lecture in French
  • Lecture in English
  • Lecture in German