Course

Fixed Income Securities and Interest Rate Derivatives - FINS5536

Faculty: Australian School of Business

School: School of Banking and Finance

Course Outline: FINS5536 Course outline

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.

CSS Contribution Charge: 3 (more info)

Tuition Fee: See Tuition Fee Schedule

Further Information: See Class Timetable

View course information for previous years.

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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