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Program description

Fixed Income Markets

The main purpose of this course is to enable students to understand the mechanisms of the bond markets, use immunization strategies and use curve fitting techniques.

At the end of the course, the students will be able to:

  • Value and formulate a trading decision for a bond;
  • Compute the rate of return of an investment in the bond market;
  • Implement immunization strategies;
  • Estimate and interpret a yield curve.

Program content

Objectives:

The main purpose of this course is to enable students to understand the mechanisms of the bond markets, use immunization strategies and use curve fitting techniques. At the end of the course, the students will be able to:

  • Value and formulate a trading decision for a bond
  • Compute the rate of return of an investment in the bond market.
  • Implement immunization strategies.
  • Estimate and interpret a yield curve.

Program:

  • The bond market: Concepts and characteristics.
  • Spot rates, forward rates, and discount factors.
  • Fair value and trading rules: Fixed versus floating rate bonds.
  • Rates of return: Yield to maturity and realized rate of return.
  • Rating and credit risk.
  • Volatility, duration and convexity.
  • Immunization: Single period immunization; Multi-period immunization.
  • Estimation of the yield curve: Bootstrap in the Money-Market; Nelson-Siegel.

Grading:

  • Group Project: 30%;
  • Final Exam: 70%

Readings:

  • Lecture Slides
  • Other papers and news articles (supplied before classes)

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About this institute

ISCTE-University Institute of Lisbon

ISCTE-University Institute of Lisbon

Founded in 1972, the University Institute of Lisbon (ISCTE-IUL) is one of the most prestigious public universities in Portugal, particularly focused on postgraduate studies and scientific research. It is organized in four schools: ISCTE Business School, School of Sociology and...


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Contact info

ISCTE-University Institute of Lisbon

Avenida das Forças Armadas
1649-026 Lisboa
Portugal

 Show phone number
www.iscte-iul.pt

Request information

Want to know more about Fixed Income Markets? Fill out the following form and we'll pass your details on to a representative from the school, who will respond to your enquiry.

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