Fixed Income and Credit

The objective of the course is to develop understanding of fixed income securities and markets as well as interest rate derivatives. We study valuation and hedging using these instruments and discuss how these methods are used in practice.

At the end of the course, students will understand the institutional aspects and methods of valuation of fixed income securities such as bonds and related instruments, construction of yield curves, valuation and hedging using interest rate derivatives. In addition, they will be able to implement these models in Python.

This course is required for all participants. It is taught in the second semester and carries 3 ECTS credits. Go to the next course or see the list of courses.

  • Essential Literature
  • F. Fabozzi, Fixed Income Analysis, CFA Institute investment series, Second edition, John Wiley and Sons (2007)
  • D. Brigo, F. Mercurio, Interest Rate Models – With Smile, Inflation, and Credit, Springer Science and Business Media (2007).
  • D. Filipović, Term-Structure Models, Springer (2009).
  • C. Munk, Fixed Income Modelling, Oxford University Press (2011).
  • D. Brigo, M. Morini, A. Pallavicini, Counterparty Credit Risk, Collateral and Funding, John Wiley & Sons (2013).