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ARNAUD LEVY-RUEFF - Managing Partner, ExoticEquation

Course objectives

The course aims to offer students a broad understanding of fixed-income products, both qualitatively and quantitatively. Relative prices of assets will be studied in the context of arbitrage relationships. The course will also present the market organization as well as its culture, and main characters. The design and implementation of ‘dealing room alike’ spreadsheets will illustrate the theories and models outlined. Particular emphasis will be given to pragmatic thinking in order for students to focus, in context, on the relevant details.

Course outline

Fixed income 101: starting up with the concept of actualization

Understand actualization curves and learn how to select the most appropriate one upon specific contexts.

Fixed income at a glance: needs for financing, basic products, and market organization

What you should know about issuers, investors, intermediaries, and their respective interactions

Bonds and loans: the center of the fixed income galaxy

Price and compute risks for the main styles of debt instruments using actualization and credit curves

Hedging the risks with swaps and more: how to select and price interest rate and credit derivatives

Anticipate risks thanks to interest rate models. Use and price derivatives for hedging or speculation

Building and analyzing fixed income portfolios: a quantitative approach

Compare actuarial and statistical approaches for ex ante and ex post fixed income portfolio analysis

Setting up fixed income arbitrage strategies: from the mindset to the know-how

Understand the taxonomy of arbitrage strategies and get ready for practical implementation

Nonlinear fixed income products: volatility and correlation products

Learn about the main fixed income nonlinear products and their pricing basics


Fabozzi, F. J., The handbook of Fixed Income Securities, McGraw-Hill Education, 8th edition, 2012, 1840p.

Hull, J. C., Fundamentals of futures and Options Markets, Pearson, 9thEd., 2016


Final Exam.