Fixed Income Modelling

1.00 credits · Undergraduate

This course develops and studies techniques and models that are used in the analysis of fixed income securities. Topics include: extracting yield curves from bond prices, economics of the term structure of interest rates, types of fixed income securities, one- and multi-factor diffusion models, Heath-Jarrow-Morton models, measurement and management of interest rate risk, defaultable bonds and credit derivatives and stock and currency derivatives when interest rates are stochastic.