Mô tả

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!

Bạn sẽ học được gì

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

Yêu cầu

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

Nội dung khoá học

5 sections

Introduction

1 lectures
Introduction
07:02

Interest Rates and Bonds

15 lectures
Interest Rates
09:42
Simple Interest
07:43
Compound Interest
19:59
Continuous Compounding
05:44
Investment Return Measures
15:50
Coupon Bonds
12:34
Bond Pricing
17:34
Bond Yields
15:45
Semiannually (and Other) Compounded Yields
11:29
Accrued Interest
12:47
Off Coupon Date Yields
19:41
Government Bonds
17:43
Money Markets
17:33
Conventions and Notation
14:39
Python Tools: Bonds
02:50

The Time Value of Money

19 lectures
The Time Value of Money
09:21
Future Value
19:41
Present Value
21:26
Arbitrage
17:48
Pricing Zero Coupon Bonds
04:54
Future and Present Values for Cash Flow Streams
22:30
Forward Rates with Flat Term Structures
12:13
Coupon Bond Valuation
04:47
Discount Factors
20:50
Pricing Bonds with Discount Factors
12:01
Future and Present Values of Annuities
16:59
The Annuity Formula
20:35
Annuity Due
07:34
Deferred Annuities
13:50
Annuities with Nonannual Payment Frequencies
07:54
Growing Annuities
11:05
Perpetuities
11:05
Bonds and Annuities
08:49
Python Tools: Flat Yield Curves
03:28

Term Structure

19 lectures
Spot Rates
18:04
The Term Structure of Interest Rates
24:23
Python Tools: Term Structure
02:13
Bond Valuation
18:51
Repurchase Agreements
21:09
Holding Period Returns
10:08
Yield to Maturity
23:41
Bond Portfolios
22:33
Python Tools: Bond Portfolios
01:53
Reinvestment Risk and Market Risk
31:48
Carry
16:11
Forward Rates
25:40
Python Tools: Forward Rates
00:54
Forward Rates as Breakeven Rates
18:14
The Pure Expectations Hypothesis
12:59
Application of Breakeven Rates to Trading
10:45
Yields as Random Walks
17:37
The Liquidity Premium Hypothesis
17:51
Riding the Yield Curve
10:51

Interest Rate Risk

20 lectures
Interest Rate Risk
11:48
Dollar Duration and DV01
30:12
Dollar Duration for Portfolios
08:49
Python Tools: Dollar Duration
01:05
Hedging Bond Positions
32:44
Duration
27:53
Duration of Coupon Bonds
12:15
Duration for Portfolios
11:47
Python Tools: Duration
00:26
Properties of Duration
11:35
Hedging with Duration
14:29
Immunization
27:43
Single Payment Liability Example
23:03
Duration and Rate Level Trading
10:42
Convexity
23:48
Convexity of Portfolios
11:06
Convexity Hedging
28:15
Convexity, Duration, and Dispersion
28:38
Python Tools: Convexity
00:26
Multiple Payment Liability Example
37:41

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