Fixed Income Securities (Intermediate)

Dublin City University

Course Description

  • Course Name

    Fixed Income Securities (Intermediate)

  • Host University

    Dublin City University

  • Location

    Dublin, Ireland

  • Area of Study

    Mathematics

  • Language Level

    Taught In English

  • Course Level Recommendations

    Upper

    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.

    Hours & Credits

  • ECTS Credits

    7.5
  • Recommended U.S. Semester Credits
    3
  • Recommended U.S. Quarter Units
    5
  • Overview

    Description
    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.

    Learning Outcomes
    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

Course Disclaimer

Courses and course hours of instruction are subject to change.

Credits earned vary according to the policies of the students' home institutions. According to ISA policy and possible visa requirements, students must maintain full-time enrollment status, as determined by their home institutions, for the duration of the program.

ECTS (European Credit Transfer and Accumulation System) credits are converted to semester credits/quarter units differently among U.S. universities. Students should confirm the conversion scale used at their home university when determining credit transfer.

Please note that some courses with locals have recommended prerequisite courses. It is the student's responsibility to consult any recommended prerequisites prior to enrolling in their course.