Quantitative Finance and Insurance

FIXED INCOME

FIXED INCOME

Academic year 2014/2015

Sommario del corso

• Course objectives
• Results of learning outcomes
• Learning assessment methods
• Program
• Suggested textbooks and readings
• Notes
• Teaching tools

Course objectives

Valuation of fixed income instruments.

Results of learning outcomes

Being familiar with fixed-income markets and instruments.

Learning assessment methods

Durata h: 2,30 Paper-based exam.

Program

BOND ANALYSIS [Martina]:
- Bond definition and characteristics
- Bond types
- Bond structure and priority
- Bond valuation
- Bond Return Measures (CY, YTM, YTC)
- Yield curve
- The effect of interest rate changes on bond prices
- Duration
- Determinants of Interest Rates
- Bond ratings and CRAs
- Bond spread
- Bond Yields
- Government Bonds

PORTFOLIO MANAGEMENT [Martina]:
- Portfolio competition and market/strategy comments

FIXED INCOME DERIVATIVES [Marena]:
- Fixed-income derivatives
- Bootstrap of the interest rate curve
- Interest rate models

Material and lecture notes will be made available via Moodle.

Other references for FIXED INCOME DERIVATIVES:
Brigo, D., Mercurio, F., Interest Rate Models: Theory and Practice With
Smile, Inflation and Credit, Springer, 2006.
Martellini, L., Priaulet, P., Priaulet, S., Fixed-Income Securities, Wiley,
2003.

Class schedule

Note

The course should be taken together with “Derivatives” Il Corso di Studio in senso proprio è quello visualizzato all’atto dell’accesso su Campusnet. Nella videata dell’insegnamento, è indicato impropriamente come “Corso di Studio” il/i percorso/i del Corso di Laurea in cui l’insegnamento stesso è inserito.

• Teaching materials
• Exams and finals
• Go to Moodle
• Visit the forums