General Prerequisites:
Course Term: Hilary
Course Lecture Information: 16 lectures
Course Overview:
This course examines fixed income markets in which participants are
essentially concerned with the time value of money. We look at market
conventions and describe the principal types of traded products. We
describe different approaches to modelling interest rates and the
resulting pricing and hedging of interest rate derivatives. There will
be some discussion of the changes since the financial crisis for fixed
income markets. We also consider some simple models for
credit risk and how credit is handled after the crisis.
essentially concerned with the time value of money. We look at market
conventions and describe the principal types of traded products. We
describe different approaches to modelling interest rates and the
resulting pricing and hedging of interest rate derivatives. There will
be some discussion of the changes since the financial crisis for fixed
income markets. We also consider some simple models for
credit risk and how credit is handled after the crisis.
Learning Outcomes:
Course Synopsis: