Interest Rates Risk Management - 097520
Will not be given the year
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Lecture |
Exercise |
Laboratory |
Project or
Seminar |
House
Work |
Weekly
Hours |
2 |
|
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5 |
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Determination of the grade according to progress during the semester and a final examination.
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Prerequisites:
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(
| | Introduction to Financial Management |
094564
| |
| | |
and
| Options Markets |
096556
| ) |
Term Structure of Interest Rates, Interest Rates Futures, Swaps, Caps and Floors, Bond Duration and Volatility, Black for Bond Options Model, Asset-Liability Management, Binomial Term Structure Models, Ho and Lee and Hjm Models, Pricing and Hedging Derivatives on Defaultable Securities.
Textbooks| Published | Publisher | Authors | Book |
|---|
| 1996 | mc graw hill | jarrow | modeling fixed income securities and interest rate options |
| 1996 | irvin | fabbozi | the handbook of fixed income securities - |
Created in 08/03/2021 Time 14:25:36
