Fixed Income Securities

QST MF 728

The course focuses on the valuation, hedging and management of fixed income securities. Fixed income instruments are by far the most important asset class in financial markets. Basic theoretical and empirical term structure concepts are introduced. Short rate models and the Heath-Jarrow-Morton methodology are presented. Market Models and their application for the valuation of forwards, swaps, caps, floors and swaptions, and other interest rate derivatives are discussed in detail.