Fixed Income II

Ects : 3
Compétence à acquérir :
Master the theory and practice of Fi Income products pricing and hedging.

Description du contenu de l'enseignement :
Pricing and hedging of exotic rate products: Interest rate futures and bonds, Interest rate swaps, Zero coupon rate construction, Caps -Floors, Swaptions (pricing and smile), Volatility Surface/Cube, Bermudan swaptions, Callable bond and swap, Callable reverse floater, Callable snowball ... Models : HJM, Libor Market Model, Cheyette Model ...
To introduce issues and problems that arise regarding pricing and hedging of exotic rate products.