FINS5536 Fixed Income Securities and Interest Rate Derivatives

6 Units of Credit
Banking & Finance

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Studies pricing, hedging and risk management of fixed income securities and interest rate derivatives. Includes term structure dynamics (including bond price lattices, spot and forward rate models), analytical and numerical techniques, duration measures, interest rate derivative securities (including options, futures and swaps), the interaction between interest rate risk and credit risk, mortgage-backed securities and value-at-risk, the concepts of general collateral, an accessible treatment of the arbitrage-free models of the term structure, including the concept of state prices and no-arbitrage.