Module: Fixed Income Securities (Advanced)

Latest Module Specifications

Current Academic Year 2025 - 2026

Module Title	Fixed Income Securities (Advanced)
Module Code	MTH1071 (ITS: MS525)
Faculty	Science & Health	School	Mathematical Sciences
NFQ level	9	Credit Rating	7.5

Description

This graduate course focuses on a rigorous treatment of models for pricing and hedging fixed-income securities, with emphasis on continuous-time. 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. Price fixed-income securities
2. Estimate the term structure
3. Prove main results in fixed-income theory
4. Design strategies to hedge and immunize liabilities linked to interest-rates
5. Evaluate critically relative advantages of various model specifications
6. Develop pricing and hedging methods for new interest-rate related products

*Type*	*Hours*	*Description*
Workload	Full time hours per semester
Lecture	36	Classes
Directed learning	3	Final Exam
Seminars	5	Attendance to Research Seminars
Independent Study	150	Independent work on textbooks and related papers
Total Workload: 194

Section Breakdown
CRN	20798	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