Dr Jean-Pierre Zigrand

This course is available on the MSc in Finance (part-time). This course is not available as an outside option to students on other programmes. This course uses controlled access as part of the course selection process. For information on controlled access courses, including eligibility, application processes, deadlines, and departmental contact details, please refer to the Controlled Access Courses webpage.

All students on a programme listed above will be given a place. The course is not capped.

Please contact finance.teachingmanager@lse.ac.uk with any queries.

This course does not permit auditing students.

Pre-requisites:

Students must have completed FM422E and FM423E before taking this course.

• Interest rate modelling and derivatives
• Credit modelling, including credit related securities and derivatives

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 securitisation, with particular reference to collateralised default obligations and mortgage-based securities.

30 hours of lectures in the Autumn Term.

This course is taught in an interactive format. There is no distinction between lectures and classes/seminars; there are simply “sessions” where the pedagogical approach is always interactive.

The primary source for this course is a comprehensive set of Lecture Notes, tutorials and case studies and the main reference is Pietro Veronesi: Fixed Income Securities, (Wiley 2010).

Continuous assessment (100%).