Module: Fixed Income Securities (Intermediate)

Latest Module Specifications

Current Academic Year 2025 - 2026

Module Title	Fixed Income Securities (Intermediate)
Module Code	MTH1058 (ITS: MS425)
Faculty	Science & Health	School	Mathematical Sciences
NFQ level	8	Credit Rating	7.5

Description

This undergraduate course introduces the main tools for pricing and hedging fixed-income securities and their derivatives, with emphasis on the application of main models. Interest-rate contracts: bonds, swaps, caps and floors, options, swaptions. Term-structure estimation: bootstrap, splines. Shortrate models: Vasicek, Cox-Ingersoll-Ross, and related models. Forward-rates and Heath-Jarrow-Morton approach. Market (LIBOR) models.

Learning Outcomes

1. 1DBC9D66-6478-0001-8A8D-C4501153124F
2. Understand interest rate contracts
3. 1DBC9D66-6A4B-0001-39C1-36471CF01EF6
4. Use mainstream models to price fixed income securities
5. 1DBC9D66-72DB-0001-4366-1920174012E0
6. Estimate the term structure
7. 1DBCA48F-0159-0001-8EC1-1151108D1EB0
8. Apply common models to hedge and immunize liabilities linked to interest-rates
9. 1DBCA490-D9C8-0001-6780-D4D856A7142F
10. Derive the dynamics of bonds from that of interest rates and viceversa
11. 1DBCA490-EA52-0001-773F-8D7A11996CC0
12. Recognize arbitrage opportunities among interest-rate contracts, or lack thereof

*Type*	*Hours*	*Description*
Workload	Full time hours per semester
Lecture	36	Classes
Directed learning	2	Final Exam
Seminars	5	Attendance of Research Seminars
Independent Study	150	Independent work on textbooks and related papers
Total Workload: 193

Section Breakdown
CRN	20793	Part of Term	Semester 2
Coursework	0%	Examination Weight	100%
Grade Scale	40PASS	Pass Both Elements	N
Resit Category	RC1	Best Mark	N
Module Co-ordinator	Paolo Guasoni	Module Teacher

Type	Description	% of total	Assessment Date
Assessment Breakdown
Formal Examination	End-of-Semester Final Examination	100%	End-of-Semester

Reassessment Requirement Type
Resit arrangements are explained by the following categories; RC1: A resit is available for both^* components of the module. RC2: No resit is available for a 100% coursework module. RC3: No resit is available for the coursework component where there is a coursework and summative examination element. ^* ‘Both’ is used in the context of the module having a coursework/summative examination split; where the module is 100% coursework, there will also be a resit of the assessment

Pre-requisite	None
Co-requisite	None
Compatibles	None
Incompatibles	None

All module information is indicative and subject to change. For further information,students are advised to refer to the University's Marks and Standards and Programme Specific Regulations at: http://www.dcu.ie/registry/examinations/index.shtml

Indicative Content and Learning Activities

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Indicative Reading List

Books:

Damir Filipovic,: 0, Term-Structure Models: A Graduate Course, 978-3-540-09726-6
Pietro Veronesi: 2010, Fixed income securities, Wiley, Hoboken, N.J., 0470109106

Articles:
None

Other Resources

None