Dr Christian Julliard

This course is compulsory on the MSc in Financial Mathematics. This course is available on the Global MSc in Management, MSc in Accounting and Finance, MSc in Finance and Risk, MSc in Financial Statistics and MSc in Financial Statistics (Research). 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 that request a place will be given one. The course is not capped.

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

This course is available to other students from the Departments of Economics, Mathematics, and Statistics where regulations permit.

Students taking this course are expected to be familiar with the theory of asset evaluation at the level of FM429 Asset Markets A.

This advanced course is designed for students seeking an understanding of fixed income valuation and hedging methods, and a basic familiarity with the major fixed income markets and instruments.

By the end of the course, the students will be familiar with a variety of topics, including (i) the basic concepts of fixed-income instruments, such as yield, duration, convexity; (ii) the basic techniques to analyse and hedge fixed income products, such as "curve fitting", "bootstrapping", duration-based hedging and asset-liability management; (iii) the forces, or "factors", driving the variation in the entire spectrum of interest rates at different maturities; (iv) the main evaluation tools, which can be applied to evaluate a wide range of products (trees, no arbitrage trees, calibration and some continuous time models) ; (v) the main fixed income products such as government bonds, corporate bonds (convertible, callable, puttable), and their evaluation; (vi) plain vanilla interest derivatives (caps, floors and collars, swaps, swaptions, etc.) and their evaluation; (vii) mortgage backed securities and credit risk transfers; (viii) the analysis of the "destabilizing" effects related to the use of certain derivatives written on fixed income instruments.

30 hours of seminars in the Winter 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.

Students will be expected to produce 10 problem sets in the WT.

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: Sundaresan, S. (2001), Fixed Income Markets and Their Derivatives, South Western College Publishing. Duffie, D and Singleton, K (2003), Credit Risk: Pricing, Management, and Measurement, Princeton: Princeton University Press (Princeton Series in Finance). Tuckman B. and A. Serrat (2011), Fixed Income Securities: Tools for Today's Markets, 3rd Edition, John Wiley & Sons.  Veronesi, P. (2010), Fixed Income Securities: Valuation, Risk, and Risk Management, John Wiley & Sons.

Exam (100%), duration: 120 Minutes in the Spring exam period.