- Lecturer: Benjamin Hambly

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.