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• Archive: What you'll learnThe general structure of global bond and money marketsPricing, yield, accrued interest and day count conventionsArbitrage and the time value of money as the core principles underlying security valuation, and how to use them to price fixed income securitiesThe term structure of interest rates, its applications, and the accepted theories of the forces that shape itThe classic risk measures of fixed income securities: duration, DV01, and convexity, and their applications to risk managementTrading applications: riding the yield curve and rate level tradingImmunization and applications in asset/liability managementRequirementsHigh school math and calculus at a business school levelNo knowledge of finance is assumedDescriptionThe 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.