The Bond Markets module presents the basic models for the pricing of financial instruments whose value is related to the interest rate. Forward rate agreements, Eurodollar Futures and Bonds are analyzed in detail. The course also deals with the strategies that can be implemented to contrast interest rate risk.
The Portfolio Choice module deals with the fundamental concepts of portfolio theory and optimization.
The learning material for the Bond Markets module will be made available by the teacher.
The platform ARPM will be available for the Portfolio Choice module.
Learning Objectives
The aim of the Bond Markets module is to make the students familiar with the financial instruments related to interest rates. In particular, by the end of the course, the students will be able to price such instruments and evaluate different risk reduction strategies.
The aim of the Portfolio Choice module is to make the student familiar with the theory and practice of portfolio optimization.
Prerequisites
Computational Finance. Quantitative Finance and Derivatives. Microsoft Excel.
Teaching Methods
Bond Markets: regular classes.
Portfolio Choice: classes managed with the learning system by ARPM.
Further information
The course comprises two modules: Portfolio Choice (6 cfu) and Bond Markets (6 cfu).
Attendance is COMPULSORY.
Type of Assessment
Bond Markets: Oral exam.
Portfolio Choice: Exam managed with the ARPM platform resources.