Fixed Income and Risk

Basic information


45 hours


Quantitative Finance


Bonds and money market instruments. Bond prices and rates. Classical theory and empirical properties of term structures. Obtaining term structures. "Duration" interest rate risk hedge. Generalized hedge. Passive management of fixed income portfolios. Active management of fixed income portfolios. Performance measures. Swaps. Futures and Forwards. The search for invariant distributions in the markets. Copulas. Projections of invariants in the market horizons. Quantitative analysis of investor objectives. Stochastic dominance. Satisfaction ratings. Expected utility. Risk Measures. VaR. cVaR. Coherent Risk Measures. Spectral Measures. Black-Litterman methodology.



· McNeil, A., Frey, R. and Embrechets, P. (2015). Quantitative Risk Management: Concepts, Techniques and Tools. Princeton. Revised Edition.
· Meucci. Risk and Asset Allocation. Springer.
· Martellini, Priaulet, Priaulet. Fixed-income securities: valuation, risk management, and portfolio strategies. Wiley.


· Hull, J. (2014). Options, Futures and Other Derivatives. Pearson. 9th Edition.
· Björk. Arbitrage Theory in Continuous Time. Oxford Finance.
· Shreve. Stochastic Calculus for Finance Vol 2. Springer.
· Jorion. Value at Risk. Irwin.
· Etherridge. A Course in Financial Calculus. Cambridge.