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Fixed Income Analytics: Pricing and Risk Management

With Python Tools for Bonds and Money Market Instruments
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Content

Platform: Udemy
Video: 18h 35m
Language: English
Next start: On Demand

Table of contents

Description

The fixed income markets are central to the modern economy, and are arguably the most central and influential markets in the entire financial system.  Indeed, interest rates, the most important prices in the entire economy, are set in the bond and money markets. A famous and colorful lament from then President-Elect Bill Clinton in 1993 lead his aide, James Carville, to declare that in his next life he wanted to come back as something really influential: the bond market.
This course, which assumes no knowledge of finance, and with minimal math requirements (business school calculus is more than enough) will be useful for financial professionals who wish to go to the next level with their understanding of the fixed income markets, and for quantitative professionals from other fields who are interested in learning something about finance.  If you’re looking for one segment of the capital markets to start an exploration of finance, you can’t go wrong with the fixed income markets.

You will learn

✓ The general structure of global bond and money markets
✓ Pricing, yield, accrued interest and day count conventions
✓ Arbitrage and the time value of money as the core principles underlying security valuation, and how to use them to price fixed income securities
✓ The term structure of interest rates, its applications, and the accepted theories of the forces that shape it
✓ The classic risk measures of fixed income securities: duration, DV01, and convexity, and their applications to risk management
✓ Trading applications: riding the yield curve and rate level trading
✓ Immunization and applications in asset/liability management

Requirements

• High school math and calculus at a business school level
• No knowledge of finance is assumed

This course is for

• Technical professionals who want to learn finance
• Finance professionals who want to improve their quantitative skills and learn how to analyze fixed income securities
Mathematician, Statistician, and Quantitative Financier
I hold a Ph.D. in mathematics from the Courant Institute of Mathematical Sciences at NYU.  I taught mathematics at UCLA and the New Jersey Institute of Technology.  I was a quantitative analyst on Wall Street through the financial crisis years.  I am now an entrepreneur working in financial and engineering technology with a focus on machine learning applications.
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Platform: Udemy
Video: 18h 35m
Language: English
Next start: On Demand

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