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FIXED INCOME
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FIXED INCOME
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Academic year 2016/2017
- Course ID
- SEM0021
- Teaching staff
- Marina Marena (Titolare del corso)
Luca Martina (Titolare del corso) - Degree course
- Finance
Insurance and Statistics - Year
- 2° anno
- Teaching period
- Primo semestre
- 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
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Sommario del corso
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Course objectives
The purpose of the course is to discuss:1) how to construct and manage a fixed-income portfolio
2) how to model the term structure of interest rates
3) how to price and hedge interest rate derivatives
Fundamental mathematical tecniques will be presented. Practical applications will be greatly discussed.
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Results of learning outcomes
At the end of the course, the student is expected to be capable of:- understanding fixed-income markets and instruments
- evaluating the impact of the determinants of interest rate movements
- constructing and maintaining a fixed-income portfolio, and assessing its credit risk
- applying the basic course knowledge to theoretical issues and concrete market situations
- approaching the subject in a critical manner through the examination of different approaches in the literature and practice of the fixed-income market
- having gained communication skills, through the debate during the lectures
- having gained learning abilities, through a variety of learning tools (teaching material, class discussion, lab sessions, homework and tests)
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Course delivery
Lectures, class discussion and lab sessions.- Oggetto:
Learning assessment methods
40% coursework and 60% written 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
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- 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:
Class schedule
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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: