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Fixed Income

(Undergraduate Level)

Course Description

The objective of this course is to undertake a rigorous study of various fixed income securities and their derivatives. After a brief overview on the market for fixed income securities we will discuss basic pricing of various types of bonds, interest rate risk management of bonds and their portfolios. Furthermore, we will encounter various types of interest rate derivatives and cover their rigorous pricing in class. Additionally will also discuss the role of the central bank and inflation when pricing bonds. In the last part of the course, we will then discuss term structure models and the pricing of interest rate derivatives both in discrete time (using binomial trees) and in continuous time.

Lecture Content

  1. Introduction to Fixed Income Markets

  2. Interest Rates

  3. Interest Rate Risk Management

  4. Interest Rate Derivatives

  5. Inflation, Monetary Policy and the Fed Fund Rate

  6. Term Structure Models: Discrete Time Models 

  • One-Step Binomial Model​

  • Multi-Step Binomial Model

  • Risk Neutral Derivative Pricing using Binomial Trees

  • Monte - Carlo simulations: Pricing of interest rate securities and their
    derivatives

 

Data: US Yields (bootstrapped)

Portfolio Management

(Undergraduate Level)

Course Description

This course is an introduction to the theory and application of portfolio management techniques. The main objective of the course is to provide students with sound theory and quantitative tools to understand the risks associated with creating and managing a equity portfolio. After a short introduction to financial markets and trading, the first part of the course focuses on the standard Markovitz Model and several extensions thereof. The second part of the course focuses on equilibrium models in capital markets, econometric techniques and factor models. The last part of the course is devoted to further topics in portfolio management such as robust portfolio optimization and Bayesian techniques.

Lecture Content

  1. Introduction to Financial Markets and Securities

  2. Mean-Variance Portfolio Optimization

  3. Equilibrium Models in Capital Markets

  4. Financial Econometrics

  5. Factor Models

  6. Further Topics in Portfolio Management 

 

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