We will study fundamental concepts about interest rates, learn about forwards, futures and swaps and apply simple option techniques in pricing.
During its course, we will study, in as much depth as time permits, modern paradigms and instruments that revolutionized Finance Theory and Practice.
Skills acquired include, among others, the correct use of Cash Flow pricing methods, pricing and hedging symmetric derivatives and get going with option pricing techniques.
- Various Interest rates
- YTM, spot rates, par yields, etc
- Forward rates
- Intuition – Conventions
- “Bootstrapping” a yield Curve
- Duration – convexity
- Short- and long-term
- Structure and market of Interest rate Swaps (IRS)
- Their use for risk management and speculation
- Pricing and valuation of IRSs
- Other swap families: cross currency swaps, forward swaps
Tools from Options:
- A simple binomial model
- Interest rate options: caps and floors.