Fixed Income Analytics & Modeling

Catalog description

This course will cover the following topics: (1) Surveys of markets (money market, fixed income, repos, federal funds), (2) Fixed income analytics (yield curves, term structure, spot and forward curves), (3) Models of term structure (such as Gauss X model, Nelson Siegel model), (4) Analytical models (1 factor, multi-factor), and (5) Credit derivatives (swaps, structured products, and credit derivatives).