ASC714: Valuation and Risk Management of Fixed Income Securities / College of Computing, Informatics and Mathematics

Interest rate derivatives play a central role in modern financial markets. Traditionally we think of a derivative security as a security whose value depends on the value of some other basic security. The traditional view was fine at the time it was introduced in the 1970s and 1980s. Nowadays, however, the market size of interest rate derivatives is much larger than the market of primary securities. This course explores key issues in understanding fixed income instruments. It especially develops tools for valuing and modelling risk exposures of fixed income securities and their derivatives. To make the material broadly accessible, concepts are, whenever possible, explained through hands-on applications and examples rather than through advanced mathematics. Never-the-less, the course is highly quantitative and it requires good background in finance and statistical analysis as well as adequate analytical skills.