MFIN 512 Fixed-Income Analytics Select Term:
Fixed-Income Analytics deals with the valuation and management of fixed-income portfolios. The course starts with the modern interpretation of the term-structure of interest rates. Building from the basic notion of time-value of money, the course introduces duration and convexity with an emphasis on their implications for portfolio management. The course includes the derivation of an arbitrage-free interest rate model to help price options embedded in interest-rate dependent securities as wells as a discussion of interest-rate swaps and various trading strategies.
SU Credits : 1,5
ECTS Credit : 5
Prerequisite : -
Corequisite : -