Methods of Bond Evaluation

Recommended Prerequisites

NA

Teaching Methods

Theoretical lectures and practical lectures. The practical lessons consist in the resolution of exercises and on the application of the models studied to real data

 

Evaluation: Applied works using real data: 50%. Final examination 50%

Learning Outcomes

Learning of the bond pricing methods, interest rate derivatives, interest rate risk and credit risk.

Competencies on the application of these methods to real data and on the development of capability of research in this domain.

Work Placement(s)

No

Syllabus

1. The equilibrium models of bond pricing

2. The probabilistic models of bond pricing

3. Interest rate risk measures

4. Bond options and other interest rate derivatives

5. Credit risk analysis and credit default swaps analysis

Assessment Methods

Evaluation
Applied works using real data: 50.0%
final examination: 50.0%

Bibliography

Term-Structure Models: A Graduate Course , Filipovic, Damir ISBN 978-3-540-09726-6

Series: Springer Finance , Ed. Springer Verlag. (2009)

 

Fixed Income Securities: Tools for Today's Markets, 3rd Edition, University Edition

Bruce Tuckman Angel Serrat ISBN: 978-0-470-90403-9

Ed. J. Wiley & Sons, 2012

 

Mathematical Models of Financial Derivatives Kwok, Yue-Kuen, ISBN 978-3-540-42288-4

Series: Springer Finance , Ed. Springer Verlag. (2008)

2nd ed., 2008, XVI, 530 p. 49 illus.