Fixed Income Derivatives

Catalog description

Fixed Income Derivatives are one of the most important financial instruments in modern finance and represent the largest component of all global derivatives. Students taking this course will learn advanced valuation techniques of all interest-rates related derivatives, including vanilla products such as interest rates forwards (FRA), interest rates futures, Eurodollar Bonds, interest rate swaps and more exotic interest rates options of various complexity. Fixed Income Derivatives can be used as stand-alone investment vehicles but also, and more importantly, as hedging instruments to minimize portfolio risks. Overall, the course will be a mix of theory and practice with weekly reference to current news in the interest rate markets. Prerequisite: BUSF-SHU 202 Foundations of Finance. Fulfillment: BUSF Finance elective; BUSM Non-Marketing elective; IMB Business elective.