Course 2007-2008 a.y.

8223 - FIXED INCOME (ADVANCED METHODS)

MM-LS - OSI-LS - AFC-LS - CLAPI-LS - CLEFIN-LS - CLELI-LS - CLEACC-LS - DES-LS - CLEMIT-LS - CLG-LS - M-LS

Department of Finance

Course taught in English

Go to class group/s: 31

MM-LS (6 credits - I sem. - AI) - OSI-LS (6 credits - I sem. - AI) - AFC-LS (6 credits - I sem. - AI) - CLAPI-LS (6 credits - I sem. - AI) - CLEFIN-LS (6 credits - I sem. - AI) - CLELI-LS (6 credits - I sem. - AI) - CLEACC-LS (6 credits - I sem. - AI) - DES-LS (6 credits - I sem. - AI) - CLEMIT-LS (6 credits - I sem. - AI) - CLG-LS (6 credits - I sem. - AI) - M-LS (6 credits - I sem. - AI)

Course Director:
FULVIO ORTU

Classes: 31 (I sem.)

Instructors:
Class 31: GIANLUCA FUSAI

Course Objectives

Term structure modeling forms the backbone of financial engineering and is also complicated by the underlying asset being an entire curve. The purpose of the course is to present the latest achievements in term structure modeling for pricing and hedging interest rate derivatives. The course is strongly quantitatively oriented, but particular emphasis is placed on financial and practical aspects. A good knowledge of mathematics and probability is strongly recommended.

Course Content Summary

Elements of financial mathematics.
Contracts: T-Bills, Forward Rate Agreements, Euro Futures, Swaps, Bond Futures, Caps and Swaptions.
Yeld curve stripping.
The Black model.
The Health-Jarrow-Morton model.
The Libor market model.
The Swap market model.
Pricing of structured products.
Introduction to the volatility smile modelling in interest rate markets.
EXCEL model implementation.

Detailed Description of Assessment Methods

Student evaluation consists of a written exam.

Textbooks

D. BRIGO, F. MERCURIO, Interest Rate Models: Theory and Practice, Springer Finance 2006, 2^nd edition.
L. MARTELLINI, P. PRIAULET, S. PRIAULET, Fixed Income Securities, Wiley Finance, 2003.

Exam textbooks & Online Articles (check availability at the Library)

Last change 30/05/2007 11:11