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Fixed Income Securities and Interest Rate Derivatives - FINS5536
 The Quad

   
   
   
 
Campus: Kensington Campus
 
 
Career: Postgraduate
 
 
Units of Credit: 6
 
 
EFTSL: 0.12500 (more info)
 
 
Indicative Contact Hours per Week: 3
 
 
Enrolment Requirements:
 
 
Prerequisite: FINS5513 or enrolment in program 8406.
 
 
Fee Band: 3 (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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