FINM3023

Course Descriptions

The aim of this course is to provide students with an introduction to the techniques of valuation of fixed income securities and their derivatives as well as management of fixed income investment portfolios. This course focuses on analytic tools used in bond portfolio management and interest rate risk management. These tools include yield curve construction, duration and convexity, and formal term structure models. The course covers the valuation of a wide variety of fixed income securities and derivatives including pure discount bonds, coupon bonds, forwards and options on fixed income securities, interest-rate swaps, floating-rate notes, and mortgages. It also develops tools for valuing and modelling the risk exposures of fixed income securities and their derivatives, with the ultimate goal of deploying these instruments in a corporate or financial risk management setting.

Prerequisite

FINM3093 Investments

Workload

Workload not available

Modules

Modules not available