Description
Instructor(s)/Supervisor(s)/Coordinator(s): Lixin WUBonds and bond yields. Bond markets. Bond portfolio management. Fixed-income derivatives markets. Term structure models and Heath-Jarrow-Morton framework for arbitrage pricing. Short-rate models and lattice tree implementations. LIBOR Market models. Hedging. Bermudan swaptions and Monte Carlo methods. Convexity adjustments. Mortgage-backed securities. Asset-backed securities. Collateralized debt obligations.