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ARNAUD LEVY-RUEFF\u00a0- <\/strong>Managing Partner, ExoticEquation<\/p>\n 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 \u2018dealing room alike\u2019 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.<\/p>\n Fixed income 101: starting up with the concept of actualization<\/strong><\/p>\n Understand actualization curves and learn how to select the most appropriate one upon specific contexts.<\/p>\n Fixed income at a glance: needs for financing, basic products, and market organization<\/strong><\/p>\n What you should know about issuers, investors, intermediaries, and their respective interactions<\/p>\n Bonds and loans: the center of the fixed income galaxy<\/strong><\/p>\n Price and compute risks for the main styles of debt instruments using actualization and credit curves<\/p>\n Hedging the risks with swaps and more: how to select and price interest rate and credit derivatives<\/strong><\/p>\n Anticipate risks thanks to interest rate models. Use and price derivatives for hedging or speculation<\/p>\n Building and analyzing fixed income portfolios: a quantitative approach<\/strong><\/p>\n Compare actuarial and statistical approaches for ex ante and ex post fixed income portfolio analysis<\/p>\n Setting up fixed income arbitrage strategies: from the mindset to the know-how<\/strong><\/p>\n Understand the taxonomy of arbitrage strategies and get ready for practical implementation<\/p>\n Nonlinear fixed income products: volatility and correlation products<\/strong><\/p>\n Learn about the main fixed income nonlinear products and their pricing basics<\/p>\n Fabozzi, F. J., The handbook of Fixed Income Securities, McGraw-Hill Education, 8th edition, 2012, 1840p.<\/p>\n Hull, J. C., Fundamentals of futures and Options Markets, Pearson, 9thEd., 2016<\/p>\n Final Exam.<\/p>","protected":false},"excerpt":{"rendered":" FIXED INCOME I Professor ARNAUD LEVY-RUEFF\u00a0- 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 […]<\/p>","protected":false},"author":1428,"featured_media":0,"parent":1892,"menu_order":0,"comment_status":"closed","ping_status":"closed","template":"","meta":{"footnotes":"","_members_access_role":[],"_members_access_error":""},"class_list":["post-2215","page","type-page","status-publish","hentry"],"acf":[],"yoast_head":"\nCourse objectives<\/h5>\n
Course outline<\/h5>\n
References<\/h5>\n
Assessment<\/h5>\n