Course details
Fixed Income Securities
FINA 60201A
The student is exposed to the recent developments and practices regarding fixed income securities that are typically used in financial institutions and corporations. The following topics are examined: interest rate swaps; the management of interest rate risks; risk-neutral valuation for fixed-income securities; term structure models; mortgage-backed bonds; interest rate options; credit risk.
Themes covered
1. Introduction to rates zero coupon and swaps
2. Nelson-Siegel model and Risk Management
3. Risk-neutral valuation
4. Short term interest rate processes
5. Mortgage back securities and binomial approaches
6. Term structure of interest rate models
7. Options on interest rates
8. Fixed income securities and credit risk
Important notes
Course in French : FINA 60201
M. Sc. finance: Préalable(s): MATH 60207(A) ou 60230(A), et MATH 60210(A) ou 60231(A), et FINA 60211(A) ou 60232(A) M. Sc. économie financière appliquée: Préalable(s): MATH 60837(A)(Co) ou être admis à la M. Sc. ingénierie financière
M. Sc. finance: Préalable(s): MATH 60207(A) ou 60230(A), et MATH 60210(A) ou 60231(A), et FINA 60211(A) ou 60232(A) M. Sc. économie financière appliquée: Préalable(s): MATH 60837(A)(Co) ou être admis à la M. Sc. ingénierie financière
Course code
FINA 60201A
Subject
Finance
Program
Maîtrise en gestion (M. Sc.)
Location
Côte-des-Neiges
Instruction mode
On-site learning
Credits
3