- Lecturer: Hanqing Jin
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 in recent years in for fixed income markets. We also consider some simple models for credit risk and credit valuation adjustment.
Course synopsis:
Bonds and interest rates, zero-coupon bond prices, LIBOR rates, forward rates, spot rates, short rates. Valuation principles and numeraire invariance, change of numeraire, forward prices, T-forward measure. Interest rate derivatives. Models of term structure. Short rate models. Forward rate models. Market models. Multiple curve models (optional). Credit risk and models, credit derivatives, credit valuation adjustments.