Fixed Income Securities

Aims of the course

Objectives: students will acquire in-depth knowledge of various fixed income instruments, their characteristics and valuation approaches, management of fixed income portfolios, as well as practical experience when it comes to practical managemed of fixed income portfolios.
Competences: students will be able to individually solve relatively unstructured tasks and successfully confront challenges in fixed income securities (valuation, fixed income portfolio management); they will also acquire competences related to working in teams, application of theoretical models, gathering and processing of financial data, valuation of various bond types and investment recommendations.

Course syllabus

1. Bond prices , discount factors, spot and forward rates, yield-to-maturity
2. Valuing bonds with options – call, put, conversion
3. Measures of prices sensitivity and hedging (greeks, regression based hedging)
4. Term structure of interest rates (models, trading based on the term structure)
5. Mortgage-Backed Securities
6. Management of Fixed Income Portfolios

Course director(s)