Fixed Income Analytics

Catalog description

This course is designed to familiarize students with fixed income securities, as well as contemporary models and techniques used to price and hedge them. This course will cover: (1) Fixed income markets, instruments, and derivatives (including swaps), (2) Fixed income analytics (such as yield, duration, and convexity), (3) Models of the term structure, (4) Analytical models (single and multi-factor), and (5) Credit Risk: Structured products and credit derivatives.