Quantitative Methods in Fixed Income
Aims
- To gain a profound and state-of-the-art insight into quantitative methods in fixed income, both from a theoretical and empirical perspective.
- After passing the course, students have a solid knowledge of different models for the dynamic behavior of the term structure of interest rates and other fixed income products.
- Students are able to apply advanced econometric tools for modeling and forecasting interest rates. In particular, they are able to do model specification, parameter estimation and inference, specification testing, and forecasting.
Information
This course surveys modern econometric and time series techniques that are used for modeling and forecasting fixed income products and the term structure of interest rates. Topics include:
- Bond market concepts: bond prices, interest rates, yields, forward rates and the term structure of interest rates;
- Empirical features of the yield curve;
- Theories of the term structure (expectations hypothesis, asset pricing theory);
- Models of the term structure (Nelson-Siegel, Vasicek, CIR, Affine);
- Yield curve forecasting;
Assessment
- Assignments, essays, ... (15%)
- Written (re-)examination with essay questions (85%)
Materials
To be announced, but it includes a collection of journal articles, working papers and lecture notes
2016/2017
