Fixed Income Securities (Intermediate)
Dublin City University
Area of Study
Taught In English
Course Level Recommendations
ISA offers course level recommendations in an effort to facilitate the determination of course levels by credential evaluators.We advice each institution to have their own credentials evaluator make the final decision regrading course levels.
Recommended U.S. Semester Credits3
Recommended U.S. Quarter Units5
Hours & Credits
This undergraduate course introduces the main tools for pricing and hedging fixed-income securities and their derivatives, with emphasis on the application of main models. Interest-rate contracts: bonds, swaps, caps and floors, options, swaptions. Term-structure estimation: bootstrap, splines. Shortrate models: Vasicek, Cox-Ingersoll-Ross, and related models. Forward-rates and Heath-Jarrow-Morton approach. Market (LIBOR) models.
1. Understand interest rate contracts
2. Use mainstream models to price fixed income securities
3. Estimate the term structure
4. Apply common models to hedge and immunize liabilities linked to interest-rates
5. Derive the dynamics of bonds from that of interest rates and viceversa
6. Recognize arbitrage opportunities among interest-rate contracts, or lack thereof