Subject: Subject Sylbus: Interest Rates Risk Management - 097520

Interest Rates Risk Management - 097520
Will not be given the year
Credit
Points
2.0
 
  Lecture Exercise Laboratory Project or
Seminar
House
Work
Weekly
Hours
2       5

Determination of the grade according to progress during the semester and a final examination.


Prerequisites: ( 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
PublishedPublisherAuthorsBook
1996mc graw hilljarrowmodeling fixed income securities and interest rate options
1996irvinfabbozithe handbook of fixed income securities -

Created in 08/03/2021 Time 14:25:36