- Oggetto:
- Oggetto:
FIXED INCOME
- Oggetto:
FIXED INCOME
- Oggetto:
Academic year 2015/2016
- Course ID
- SEM0021
- Teaching staff
- Marina Marena (Titolare del corso)
Luca Martina (Titolare del corso) - Degree course
- Insurance and Statistics
- Year
- 2° anno
- Type
- Caratterizzante
- Credits/Recognition
- 6
- Course disciplinary sector (SSD)
- SECS-S/06 - metodi matematici dell'economia e delle scienze att. e finanz.
- Delivery
- Tradizionale
- Language
- Inglese
- Attendance
- Facoltativa
- Type of examination
- Scritto
- Prerequisites
-
- Oggetto:
Sommario del corso
- Oggetto:
Course objectives
Valuation of fixed income instruments.- Oggetto:
Results of learning outcomes
Being familiar with fixed-income markets and instruments.- Oggetto:
Course delivery
Lectures and lab sessions.- Oggetto:
Learning assessment methods
50% coursework and 50% examination.- Oggetto:
Program
BOND ANALYSIS:
- 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 BondsPORTFOLIO MANAGEMENT:
- Portfolio competition and market/strategy commentsFIXED INCOME DERIVATIVES:
- Fixed-income derivatives
- Bootstrap of the interest rate curve
- Interest rate modelsSuggested readings and bibliography
- Oggetto:
- Material and lecture notes will be made available via Moodle.
References for FIXED INCOME DERIVATIVES:
Brigo, D., Mercurio, F., Interest Rate Models: Theory and Practice With Smile, Inflation and Credit, Springer, 2006.
Kienitz, J., Interest Rate Derivatives Explained, Palgrave Macmillan, 2014. - Oggetto:
Note
The course should be taken together with “Derivatives”. Students who cannot attend classes are kindly requested to contact instructors at the beginning of the course.
- Oggetto:
