Subject
Finance
Program
Master of Science (MSc)
Location
Côte-des-Neiges
Instruction mode
Credits
3
Description
Advanced knowledge on the pricing and uses of fixed income securities such as bonds, interest rate swaps, structured products, and interest rate derivatives.
This is an advanced course on fixed-income markets and instruments that focuses on modelling and valuation. A special treatment is devoted to the yield curve, its construction, the modelling of its dynamics, and the corresponding pricing of fixed-income instruments. First, securities prone to interest rate risk only are analyzed. Then, credit risk is also examined. The course will use some numerical methods and some elements of stochastic calculus. These notions will be introduced before any application. After the course, students should be equipped with methods and tools to evaluate fixed-income securities and to manage the exposures of these instruments to interest rate and credit risks.
Themes covered
Topic 1. Introduction to rates zero coupon and swaps
Topic 2. Construction and smoothing of the yield curve
Topic 3. Single- and multi-factor models
Topic 4. Implementation (calibration estimation forecasting)
Topic 5. Heath-Jarrow-Morton framework and market models
Topic 6. Valuing interest rate securities with numerical methods
Topic 7. Fundamental notions on credit risk
Topic 8. Structural models of credit risk
Topic 9. Reduced-form approach of credit risk modelling
Important notes
Course in French : FINA 60201
M. Sc. finance: Préalable(s): MATH 60207(A) ou 60230(A), et MATH 60210(A) ou 60231(A), et FINA 60211(A) ou 60232(A) M. Sc. économie financière appliquée: Préalable(s): MATH 60837(A)(Co) ou être admis à la M. Sc. ingénierie financière
M. Sc. finance: Préalable(s): MATH 60207(A) ou 60230(A), et MATH 60210(A) ou 60231(A), et FINA 60211(A) ou 60232(A) M. Sc. économie financière appliquée: Préalable(s): MATH 60837(A)(Co) ou être admis à la M. Sc. ingénierie financière