Fixed Income Analytics: Pricing and Risk Management

About Course

The general structure of global bond and money markets
Pricing, yield, accrued interest and day count conventions
Arbitrage and the time value of money as the core principles underlying security valuation, and how to use them to price fixed income securities
The term structure of interest rates, its applications, and the accepted theories of the forces that shape it
The classic risk measures of fixed income securities: duration, DV01, and convexity, and their applications to risk management
Trading applications: riding the yield curve and rate level trading
Immunization and applications in asset/liability management

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