Dr Christian Julliard

This course is available on the MSc in Finance (part-time). This course is not available as an outside option.

Students must have completed Asset Markets (FM423) and Corporate Finance (FM422).

• Interest rate modelling and derivatives
• Credit risk
• Credit derivatives and risk management

This course provides a thorough grounding in recent developments in fixed income securities pricing, hedging and portfolio management.

By the end of the course, the students will be familiar with the fixed income state of the art business practice and a variety of topics including (i) an analysis of the main products traded in the credit markets, such as Government and corporate bonds, bond options, swaps, caps, floors, swaptions, callable, puttable and convertible bonds, and an analysis of the main credit derivatives such as total-return swaps, spread options and credit default swaps; (ii) the specific tools used in the industry practice to evaluate and hedge these products, which range from no-arbitrage trees and the calibration of yield curve derivatives to the main tools used to monitor and manage credit risk; (iii) the process of securitization, with particular reference to collateralized default obligations and mortgage-based securities.

30 hours of lectures in the LT.

The primary source for this course is a comprehensive set of Lecture Notes, tutorials and case studies and a reading pack containing chapters from the following books: (i) Sundaresan, S. (2001). Fixed Income Markets and Their Derivatives, South Western College Publishing. (ii) Duffie, D. and K. Singleton (2003). Credit risk. Pricing, management and measurement. Princeton: Princeton University Press (Princeton Series in Finance). (iv) Ho, T.S.Y. and S.B. Lee (2004). The Oxford Guide to Financial Modeling. Oxford University Press. (v) Tuckman, B. (2002). Fixed Income Securities, John Wiley & Sons. (vi) Wilmott, P. (2000). Paul Wilmott on Quantitative Finance. John Wiley & Sons. Fixed Income Securities, Pietro Veronesi (Wiley 2010). 

Exam (80%, duration: 2 hours) in the main exam period.
Coursework (20%) in the LT.