| Module Title |
Fixed Income Securities (Advanced) |
| Module Code |
MTH1071 (ITS: MS525) |
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Faculty |
Mathematical Sciences |
School |
Science & Health |
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NFQ level |
9 |
Credit Rating |
7.5 |
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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.
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Learning Outcomes
1. Price fixed-income securities
2. 1DBCA491-400B-0001-D88E-1A1E196B1953
3. Develop pricing and hedging methods for new interest-rate related products
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| Workload | Full time hours per semester | | Type | Hours | Description |
|---|
| 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 |
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| Section Breakdown | | CRN | 20798 | Part of Term | Semester 2 | | Coursework | 0% | Examination Weight | 0% | | Grade Scale | 40PASS | Pass Both Elements | Y | | Resit Category | RC1 | Best Mark | N | | Module Co-ordinator | Paolo Guasoni | Module Teacher | |
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| Assessment Breakdown |
| Type | Description | % of total | Assessment Date |
|---|
| 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
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Pre-requisite |
None
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Co-requisite |
None |
| Compatibles |
None |
| Incompatibles |
None |
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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
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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 |
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