Type of Credit: Required
Credit(s)
Number of Students
This course provides an advanced introduction to the fundamental concepts of bond markets, focusing on the pricing of fixed-income securities. Key topics include no arbitrage, the term structure of interest rates, and analysis of derivative pricing. The course also covers both discrete-time models and classic continuous-time frameworks, with practical implementation using Monte Carlo simulation techniques to provide a complete understanding of bond pricing.
能力項目說明
By the end of this course, students will have a strong understanding of the foundational concepts in bond pricing. They will learn to apply binomial models to evaluate the evolution of interest rates. Through a detailed introduction to the properties of stochastic calculus, students will gain valuable insights into its basic principles. This foundational knowledge will equip students to understand classic continuous-time models, such as the Vasicek and CIR frameworks, and to implement these models effectively in practical applications.
| 教學週次Course Week | 彈性補充教學週次Flexible Supplemental Instruction Week | 彈性補充教學類別Flexible Supplemental Instruction Type |
|---|---|---|
|
週次 Week |
課程主題 Topic |
課程內容與指定閱讀 Content and Reading Assignment |
|
1 |
Pricing of Bonds: Introduction |
Calin Ch.1,2 |
|
2 |
Measuring Yield, Term Structure of Interest Rates |
Calin Ch.1,2 ; Veronesi Ch.1, 2 |
|
3 |
Advanced Interest Rate Risk Management |
Veronesi Ch.1, 2 |
|
4 |
Convexity and Curvature |
Veronesi Ch.4 |
|
5 |
One Step Binomial Trees |
Veronesi Ch.9 |
|
6 |
Multi-Step Binomial Trees |
Veronesi Ch.10 |
|
7 |
Risk Neutral Trees and Derivative Pricing |
Veronesi Ch.11 |
|
8 |
Stochastic Calculus |
Calin Ch 2,3, |
|
9 |
Mid-Term Exam |
|
|
10 |
Stochastic Calculus |
Calin Ch.4,5,6 |
|
11 |
Stochastic Calculus |
Calin Ch. 7,8 |
|
12 |
Interest Model in Continuous Time |
Brigo and Mercurio Ch 2.3; Veronesi Ch.14 |
|
13 |
No Arbitrage and the Pricing of Interest Rate Securities |
Brigo and Mercurio Ch 2.3; Veronesi Ch.15 |
|
14 |
Introduction to Risk Neutral Pricing and Monte Carlo Simulations |
Veronesi Ch.17 |
|
15 |
The Risk and Return of Interest Rate Securities |
Veronesi Ch.18 |
|
16 |
Final exam |
|
|
17 |
Self-study week |
|
|
18 |
Self-study week |
Students will be graded as follows: