Course 2005-2006 a.y.
8223 - FIXED INCOME (ADVANCED METHODS)
GM-LS - MM-LS - OSI-LS - AFC-LS - CLAPI-LS - CLEFIN-LS - CLELI-LS - CLEACC-LS - DES-LS - CLEMIT-LS - CLG-LS
Department of Finance
Course taught in English
Go to class group/s: 31
GM-LS (6 credits - I sem. - AI) - MM-LS (6 credits - I sem. - AI) - OSI-LS (6 credits - I sem. - AI) - AFC-LS (6 credits - I sem. - AI) - CLAPI-LS (6 credits - I sem. - AI) - CLEFIN-LS (6 credits - I sem. - AI) - CLELI-LS (6 credits - I sem. - AI) - CLEACC-LS (6 credits - I sem. - AI) - DES-LS (6 credits - I sem. - AI) - CLEMIT-LS (6 credits - I sem. - AI) - CLG-LS (6 credits - I sem. - AI)
Course Objectives
The purpose of the course is to present the latest achievements in term structure modeling for pricing and hedging interest rate derivatives. The course is quantitatively oriented, but particular emphasis is placed on financial and practical aspects.
Course Content Summary
- Basic elements of financial mathematics.
- T-Billis, Forward Rate Agreements, Euro Futures, Swaps, Bond Futures, Caps and Swaptions, Yeld curve stripping.
- The Black model.
- The LIBOR market model.
- The Health-Jarrow-Morton model.
- Equilibrium models.
- Model calibration and estimation of term structure models.
- Pricing of structured bonds.
- Credit risk issues.
Detailed Description of Assessment Methods
Student evaluation consists of a written exam.
Textbooks
- L. MARTELLINI, P. PRIAULET, S. PRIAULET, Fixed-Income Securities: Valuation, Risk Management and Portfoglio Strategies, John Wiley & Sons, 2003.
Last change 28/04/2005 00:00