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Course 2008-2009 a.y.

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
Department of Finance

Course taught in English


Go to class group/s: 31

MM-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) - DES-LS (6 credits - I sem. - AI) - CLG-LS (6 credits - I sem. - AI) - M-LS (6 credits - I sem. - AI) - IM-LS (6 credits - I sem. - AI) - ACME-LS (6 credits - I sem. - AI) - EMIT-LS (6 credits - I sem. - AI)
Course Director:
GIANLUCA FUSAI

Classes: 31 (I sem.)
Instructors:
Class 31: GIANLUCA FUSAI


Course Objectives

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.


Course Content Summary

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.


Detailed Description of Assessment Methods

Written examination


Textbooks

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)

Last change 08/04/2008 12:19