ECTS : 6
Description du contenu de l'enseignement :
Interest rate derivatives, investment and hedging
The objective of the course is to give an all round comprehensive knowledge and understanding of the theory and the day-to-day use of interest rates derivatives, for both investment and hedging purposes.
Various views about the level and shape of the yield curve are implemented with selected absolute and relative value trades. across “Directional” and “Volatility” strategies.
Finally, this course introduces to the the sustainable investing landscape (“ESG”) which has met some growing and significant appetite over the past decade, while providing insights and methodology for managing fixed income ESG investment strategies.
Compétence à acquérir :
Participants will learn how banks, portfolio managers and corporate treasuries use rates derivatives alike in the management of risks, for trading, hedging and arbitrage and their role in the day-to-day running of the finances of businesses.
Mode de contrôle des connaissances :
Take home exam: trade idea
Table exam
Bibliographie, lectures recommandées :
Fixed-Income Securities: Valuation, Risk Management, and Portfolio Strategies, Lionel Martellini, Philippe Priaulet
Fixed Income Analysis, CFA institute, Barbara S. Petitt (Author), Jerald E. Pinto, Wendy L. Pirie, Bob
Interest Rate Risk Modeling, Wiley, Sanjay K. Nawalkha, Gloria M. Soto, Natalia A. Beliaeva
Fixed Income Mathematics, Analytical & Statistical Techniques, Frank J. Fabozzi