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AC.F608: Fixed Income Markets


Department: Accounting and Finance NCF Level: FHEQ/QCF/NQF7//RQF7
Study Level: Postgraduate (Masters level) Credit Points: 15
Start Date: 14-01-2019 End Date: 12-04-2019
Available for Online Enrolment?: N Enrolment Restriction: Fully available to all students
Module Convenor: Dr Q Zhang

Syllabus Rules and Pre-requisites

CMod description

  • This course focuses on the most important concepts and principles used to analyse fixed income securities and their derivatives. The basic concepts and principles include: (1) term structure of interest rate (yield curve); (2) interest rate sensitivity (duration and convexity); (3) arbitrage-free pricing of interest rate derivatives. The course also covers the application of these concepts and principles in different areas of fixed income securities including fixed and floating coupon bond, interest rate swaps, interest rate futures and embedded options on fixed income securities.

     

Curriculum Design: Outline Syllabus

  • This course focuses on the most important concepts and principles used to analyse fixed income securities and their derivatives.  The basic concepts and principles include:  (1) term structure of interest rate (yield curve); (2) interest rate sensitivity (duration and convexity); (3) arbitrage-free pricing of interest rate derivatives.  The course also covers the application of these concepts and principles in different areas of fixed income securities including fixed and floating coupon bond, interest rate swaps, interest rate futures and embedded options on fixed income securities.

     

  • 75% Exam
  • 25% Coursework

Educational Aims: Subject Specific: Knowledge, Understanding and Skills

  • By the end of the course, students should be able (1) describe important fixed income securities and markets and (2) develop tools for valuing fixed income securities and managing rate risk

     

Learning Outcomes: Subject Specific: Knowledge, Understanding and Skills

  •  

    An understanding of the most important concepts and principles used to analyse fixed income securities and their derivatives, including:

    • term structure of interest rate (yield curve)
    • interest rate sensitivity (duration and convexity)
    • arbitrate-free pricing of interest rate derivatives

     

    and their application in different areas of fixed income securities including:

    • fixed and floating coupon bonds
    • interest rate swaps
    • interest rate futures
    • embedded options on fixed income securities

Contact Information

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