Fixed Income Modeling and Analysis

Fixed Income Modeling and Analysis

  • Course Description

    This course offers a thorough understanding of the working and pricing of fixed income securities and derivatives.
    It covers different measures of bond price sensitivity to changes in yields such as duration and convexity, arbitrage-free and equilibrium term structure models.

  • Course Objectives
    • Comprehend yield, duration and convexity for interest rate risk modeling
    • Analyze forward contracts and interest rate swaps
    • Understand pricing and valuation of caps, floors and ‘swaptions’
    • Explore stochastic interest rate model and one factor term structure model
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