{"id":109,"date":"2022-08-31T12:37:46","date_gmt":"2022-08-31T10:37:46","guid":{"rendered":"https:\/\/people.unil.ch\/michaelrockinger\/?page_id=109"},"modified":"2022-08-31T12:43:27","modified_gmt":"2022-08-31T10:43:27","slug":"fixed-income-and-credit-risk-course","status":"publish","type":"page","link":"https:\/\/people.unil.ch\/michaelrockinger\/fixed-income-and-credit-risk-course\/","title":{"rendered":"Fixed Income and Credit Risk"},"content":{"rendered":"\n

This is a demanding second-semester lecture<\/em><\/p>\n\n\n\n

Objectives<\/h3>\n\n\n\n

There are two parts in this course:<\/p>\n\n\n\n

A) master the techniques that are required for option pricing in the Black-Scholes setting. This encompasses stochastic calculus and it leads to the fundamental partial differential equation which we solve with Feynman-Kac.<\/p>\n\n\n\n

B) In this part we discuss the techniques related to fixed income markets: types of interest rate quotes, rate curves, duration. Forward rates, Floating-Rate-Notes, Forwards and SWAPS.<\/p>\n\n\n\n

The course will cover in detail the following interest rate models: Merton, Vasicek, as well as Cox, Ingersoll and Ross and mention many others. We will also move on to the Libor Market Model where the tools developped in part A will be extensively used. In this part we also introduce techniques to deal with credit risk by discussing structural and intensity based models.<\/p>\n\n\n\n

After attending this course, participants should have the knowledge so that advanced textbooks such as the one by Brigo and Mercurio: \u00ab\u00a0Interest Rate Models – Theory and Practice\u00a0\u00bb become accessible.<\/p>\n\n\n\n

Contents<\/h3>\n\n\n\n

The course is structured around the following list of topics:<\/p>\n\n\n\n

1. Stochastic calculus<\/p>\n\n\n\n

2. Overview of fixed income instruments and relevant notation<\/p>\n\n\n\n

3. Bootstrapping the term structure of interest rates<\/p>\n\n\n\n

4. No arbitrage valuation and replicating portfolios<\/p>\n\n\n\n

5. Interest rate modeling for valuation and hedging<\/p>\n\n\n\n

6. Pricing and hedging of interest rate futures and options<\/p>\n\n\n\n

7. Taking into account credit risk: intensity based modeling and structural models<\/p>\n\n\n\n

References<\/h3>\n\n\n\n

The primary textbook references are:<\/p>\n\n\n\n

Steven Shreve, \u00ab\u00a0Stochastic Calculus for Finance II: Continuous-Time Models\u00a0\u00bb, 2004, Springer.<\/p>\n\n\n\n

Pietro Veronesi, \u00ab\u00a0Fixed Income Securities: Valuation, Risk, and Risk Management\u00a0\u00bb, John Wiley and Sons, 2010.<\/p>\n\n\n\n

Darrell Duffie, Kenneth J. Singleton, \u00ab\u00a0Credit Risk\u00a0\u00bb, Princeton University Press, 2003.<\/p>\n\n\n\n

Additional textbook references:<\/p>\n\n\n\n

Brigo D. and F. Mercurio, \u00ab\u00a0Interest Rate Models: Theory and Practice: With Smile, Inflation and Credit\u00a0\u00bb, Springer Finance, 2006. (Second Editon).<\/p>\n\n\n\n

John C. Hull, \u00ab\u00a0Options, Futures and Other Derivatives\u00a0\u00bb, 7th Edition, Prentice Hall, 2008. (Hull 2008)<\/p>\n\n\n\n

Prerequisites<\/h3>\n\n\n\n

Mathematics for Economics and Finance<\/p>\n\n\n\n

Empirical Methods in Finance<\/p>\n\n\n\n

Programming for Finance<\/p>\n","protected":false},"excerpt":{"rendered":"

This is a demanding second-semester lecture Objectives There are two parts in this course: A) master the techniques that are required for option pricing in the Black-Scholes setting.…<\/p>\n","protected":false},"author":1001133,"featured_media":0,"parent":0,"menu_order":0,"comment_status":"closed","ping_status":"closed","template":"","meta":{"_seopress_titles_title":"","_seopress_titles_desc":"","_seopress_robots_index":"","_seopress_robots_follow":"","_seopress_robots_imageindex":"","_seopress_robots_snippet":"","_seopress_robots_primary_cat":"","_seopress_robots_breadcrumbs":"","_seopress_robots_freeze_modified_date":"","_seopress_robots_custom_modified_date":"","_seopress_robots_canonical":"","_seopress_social_fb_title":"","_seopress_social_fb_desc":"","_seopress_social_fb_img":"","_seopress_social_fb_img_attachment_id":0,"_seopress_social_fb_img_width":0,"_seopress_social_fb_img_height":0,"_seopress_social_twitter_title":"","_seopress_social_twitter_desc":"","_seopress_social_twitter_img":"","_seopress_social_twitter_img_attachment_id":0,"_seopress_social_twitter_img_width":0,"_seopress_social_twitter_img_height":0,"_seopress_redirections_value":"","_seopress_redirections_enabled":"","_seopress_redirections_enabled_regex":"","_seopress_redirections_logged_status":"","_seopress_redirections_param":"","_seopress_redirections_type":0,"_seopress_analysis_target_kw":"","_seopress_news_disabled":"","_seopress_video_disabled":"","_seopress_video":[],"_seopress_pro_schemas_manual":[],"_seopress_pro_rich_snippets_disable_all":"","_seopress_pro_rich_snippets_disable":[],"_seopress_pro_schemas":[],"footnotes":""},"class_list":["post-109","page","type-page","status-publish","has-post-thumbnail"],"_links":{"self":[{"href":"https:\/\/people.unil.ch\/michaelrockinger\/wp-json\/wp\/v2\/pages\/109","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/people.unil.ch\/michaelrockinger\/wp-json\/wp\/v2\/pages"}],"about":[{"href":"https:\/\/people.unil.ch\/michaelrockinger\/wp-json\/wp\/v2\/types\/page"}],"author":[{"embeddable":true,"href":"https:\/\/people.unil.ch\/michaelrockinger\/wp-json\/wp\/v2\/users\/1001133"}],"replies":[{"embeddable":true,"href":"https:\/\/people.unil.ch\/michaelrockinger\/wp-json\/wp\/v2\/comments?post=109"}],"version-history":[{"count":0,"href":"https:\/\/people.unil.ch\/michaelrockinger\/wp-json\/wp\/v2\/pages\/109\/revisions"}],"wp:attachment":[{"href":"https:\/\/people.unil.ch\/michaelrockinger\/wp-json\/wp\/v2\/media?parent=109"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}