8223 - FIXED INCOME (ADVANCED METHODS)
MM-LS - AFC-LS - CLAPI-LS - CLEFIN-LS - CLELI-LS - DES-LS - CLG-LS - M-LS - IM-LS - ACME-LS - EMIT-LS
Course taught in English
Go to class group/s: 31
The purpose of the course is to present the latest achievements in the term structure modeling for pricing and hedging interest rate derivatives. The course is quantitatively oriented, but financial and practical issues will be greatly discussed.
Basic elements of financial mathematics. TBills, FRA, Eurofutures, Swap, Bond Futures, Caps and Swaption. Yield Curve Stripping. The Black Model. Equilibrium Models. The Heath-Jarrow-Morton model. The LIBOR market model. Model Calibration and Estimation of Term Structure models. Pricing of structured bonds. Credit Risk Issues.
L. Martellini, P. Priaulet, S. Priaulet, Fixed-Income Securities: Valuation, Risk Management and Portfolio Strategies, John Wiley & Sons (July 7, 2003).
D. Brigo, F. Mercurio, Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance) (2nd ed. - Sep 26, 2007)