UNSW Handbook Course - Fixed Income Securities and Interest Rate Derivatives

Fixed Income Securities and Interest Rate Derivatives - FINS5536


	Faculty: Faculty of Business
	School: School of Banking and Finance
	Course Outline: http://banking.web.unsw.edu.au/
	Campus: Kensington Campus
	Career: Postgraduate
	Units of Credit: 6
	EFTSL: 0.125 (more info)
	Contact Hours per Week: 3
	Enrolment Requirements:
	Prerequisite: FINS5513 or enrolment in program 8406.
	Fee Band: 2 (more info)
	Further Information: See Class Timetable

Description

Studies pricing, hedging and risk management of fixed income securities and interest rate derivatives. Includes: term structure dynamics (including bond price lattices, spot and forward rate models), analytical and numerical techniques, duration measures, interest rate derivative securities (including options, futures and swaps), the interaction between interest rate risk and credit risk, mortgage-backed securities and value-at-risk, the concepts of general collateral, an accessible treatment of the arbitrage-free models of the term structure, including the concept of state prices and no-arbitrage.

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