FINAN 6400 - Financial Engineering

This course provides students with a practical introduction to the fixed income market. Focusing in particular on interest rate products such as bonds, swaps, futures and forwards. The objective is to understand the principles driving this market. In particular we will focus on the pricing and hedging of interest rate products, paying close attention to trading strategies. Topics include: arbitrage-based pricing; yield, duration and convexity of bonds; swaps both single and multiple currency; building yield curves; using the yield curve to price and hedge instruments; bond futures; understanding factors that go into making trades and offsetting risk. This course will also emphasize various mathematical tools used to price and hedge a wide variety of interest rate products.