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FIN40420

Academic Year 2024/2025

Fixed Income Securities (FIN40420)

Subject:
Finance
College:
Business
School:
Business
Level:
4 (Masters)
Credits:
8
Module Coordinator:
Assoc Professor Alessia Paccagnini
Trimester:
Summer
Mode of Delivery:
On Campus
Internship Module:
No
How will I be graded?
Letter grades

Curricular information is subject to change.

The fixed income market is one of the largest and most complex financial markets in the world. This course covers in detail the analysis of fixed income securities from a mathematical modelling perspective including valuation, risks and the practise of risk management. Topics include bond pricing and hedging, interest rate risk, equilibrium and no-arbitrage term structure models, valuation of interest rate derivatives, calibration of interest rate models to market prices and estimation of interest rate models using historical market data.

About this Module

Learning Outcomes:

On completing this course students will be expected to:a) Critically appraise the mathematical models used in the fixed income securities market. b) Describe the various risks faced in the market and the ways to mitigate such risks. c) Explain the application of term structure models both in terms of calibration using current market prices and estimation using historical market data. d) Organise and prepare a number of assignments involving the application of mathematical models to the fixed income market using real world market data.

Student Effort Hours:
Student Effort Type Hours
Lectures

36
Specified Learning Activities

44
Autonomous Student Learning

84
Total

164

Approaches to Teaching and Learning:
Lectures, in-class coding lab, in-class discussions
Tutorials and problem-based learning
Peer and group work
Critical writing
Presentation

Requirements, Exclusions and Recommendations

Not applicable to this module.


Module Requisites and Incompatibles
Not applicable to this module.
 

Assessment Strategy  
Description Timing Component Scale Must Pass Component % of Final Grade In Module Component Repeat Offered

Not yet recorded.

Carry forward of passed components
Yes
 

Remediation Type Remediation Timing
In-Module Resit Prior to relevant Programme Exam Board
Please see Student Jargon Buster for more information about remediation types and timing. 

Feedback Strategy/Strategies

• Feedback individually to students, post-assessment
• Group/class feedback, post-assessment

How will my Feedback be Delivered?

Not yet recorded.

Name Role
Ms Elizabeth Geoghegan Lecturer / Co-Lecturer
Mr Shivam Agarwal Tutor
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