Course Descriptions
Fixed Income
Markets ( 2 units )
This course provides a quantitative approach to fixed income
securities and bond portfolio management. The focus is on
fixed income security markets, pricing and uses for portfolio
management or for hedging interest rate risk. The course
covers bond mathematics, term structure measurement and
theory, immunization techniques and the modern theory of
bond pricing, including the pricing of credit-risky bonds.
It also covers derivative instruments (futures, swaps, options,
exotic instruments). There will be extensive use of application
and programming exercises.
