2026/2027

Долговые финансовые инструменты

Статус: Маго-лего

Кто читает: Международный институт экономики и финансов

Где читается: Международный институт экономики и финансов

Охват аудитории: для своего кампуса

Преподаватели: Соколов Владимир Николаевич

Язык: русский

Кредиты: 3

Контактные часы: 40

Программа дисциплины

Аннотация

Fixed income analysis is an optional course for the master level students at ICEF. The course runs in the first semester. The course consists of three parts. In the first part we cover yield curve calculations and topics in bond portfolio management. The second part of the course introduces the arbitrage-free and equilibrium term structure models. The last part of the course introduces applications of the no-arbitrage theory to pricing derivative securities in different segments of the bond market. We cover a broad range of fixed-income products and contract specifications. The home work material also offers a heuristic introduction to numerical methods and various numerical recipes.

Цель освоения дисциплины

• The course offers a thorough understanding of the workings and pricing of the fixed income securities and derivative instruments on fixed income securities.

Планируемые результаты обучения

• analyze the pricing techniques and the trading strategies for derivative products
• apply the contingent securities pricing methods by replication of the portfolio of the synthetic claims
• use different measures of bond price sensitivity such as duration and convexity

Содержание учебной дисциплины

• Introduction to the Valuation of Fixed Income Securities
• The Science of Term Structure Interest Rate Models
• Valuation of Interest Rate Derivatives

Элементы контроля

• Class participation
• Home assignments
• Mid-term test
• Final Exam
  Students should get at least 35 points for the final exam to pass the course.

Промежуточная аттестация

• 2026/2027 2nd module
  0.25 * Mid-term test + 0.05 * Class participation + 0.1 * Home assignments + 0.6 * Final Exam

Список литературы

Рекомендуемая основная литература

• Fixed Income Securities : Tools for Today's Markets, Tuckman, B., 2002
• Options, futures, and other derivatives, Hull, J. C., 2009

Рекомендуемая дополнительная литература

• Mastering financial mathematics in Microsoft Excel : a practical guide for business calculations, Day, A. L., 2005
• The handbook of financial instruments, , 2002

Авторы

• Соколов Владимир Николаевич