Fixed Income Analytics: Pricing and Risk Management – Cameron Connell

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Fixed Income Analytics: Pricing and Risk Management – Cameron Connell Download. What you’ll learn
The general structure of global bond and money markets
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$129.99   $28 – Fixed Income Analytics: Pricing and Risk Management – Cameron Connell

What you’ll learn

  • The general structure of global bond and money markets
  • Pricing, yield, accrued interest and day count conventions
  • Arbitrage and the time value of money as the core principles underlying security valuation, and how to use them to price fixed income securities
  • The term structure of interest rates, its applications, and the accepted theories of the forces that shape it
  • The classic risk measures of fixed income securities: duration, DV01, and convexity, and their applications to risk management
  • Trading applications: riding the yield curve and rate level trading
  • Immunization and applications in asset/liability management

Requirements

  • High school math and calculus at a business school level
  • No knowledge of finance is assumed

Description

The fixed income markets are central to the modern economy, and are arguably the most central and influential markets in the entire financial system. Indeed, interest rates, the most important prices in the entire economy, are set in the bond and money markets. A famous and colorful lament from then President-Elect Bill Clinton in 1993 lead his aide, James Carville, to declare that in his next life he wanted to come back as something really influential: the bond market.

This course, which assumes no knowledge of finance, and with minimal math requirements (business school calculus is more than enough) will be useful for financial professionals who wish to go to the next level with their understanding of the fixed income markets, and for quantitative professionals from other fields who are interested in learning something about finance. If you’re looking for one segment of the capital markets to start an exploration of finance, you can’t go wrong with the fixed income markets.

What You Will Learn:

This course teaches quantitative and rigorous techniques for pricing fixed income securities and for analyzing and managing the risks they are exposed to. We will develop techniques for the analysis of treasury bonds, treasury bills, strips, and repurchase agreements, as well as for bond portfolios.

More than any other asset class, fixed income securities are exposed to risks associated with interest rates. Moreover, the linkage between fixed income assets and interest rates is very tight. Thus, by necessity, we will also develop methods for the analysis of interest rates. We will explore the close linkage between fixed income instruments and interest rates, and we will review the main theories of interest rate term structure.

The pricing of fixed income securities is one of the core objectives of the course. We will go well beyond pricing in the analysis of the risks fixed income securities are exposed to. We will treat the classic measures of interest rate risk: dollar duration, DV01, duration, and convexity, and we will see how to use them for real risk management applications.

In the end, everything in this course is driven by applications, and there are applications galore. We will cover trading applications, like riding the yield curve and rate level trading. And we will study risk management techniques like immunization, and applications in asset/liability management.

Includes Python tools

Python based tools are now included for computing bond prices and risk measures, and constructing interest rates and yield curves. All software that is part of this course is released under a permissive MIT license, so students are free to take these tools with them and use them in their future careers, include them in their own projects, whether open source or proprietary, anything you want!

So Sign Up Now!

Accelerate your finance career by taking this course, and advancing into quantitative finance. With 15 hours of lectures, extensive problem sets, and Python codes implementing the course material, not to mention a 30 day money back guarantee, you can’t go wrong!

Who this course is for:

  • Technical professionals who want to learn finance
  • Finance professionals who want to improve their quantitative skills and learn how to analyze fixed income securities

$129.99   $28 – Fixed Income Analytics: Pricing and Risk Management – Cameron Connell


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