Modelli per la gestione di portafoglio II (2009/2010)

Course not running

Course code
4S01518
Name of lecturer
Andrea Berardi
Coordinator
Andrea Berardi
Number of ECTS credits allocated
5
Academic sector
SECS-S/06 - MATHEMATICAL METHODS OF ECONOMICS, FINANCE AND ACTUARIAL SCIENCES
Language of instruction
Italian
Location
VERONA
Period
2nd semester dal Feb 22, 2010 al May 22, 2010.

Lesson timetable

Learning outcomes

The aim of the course is to provide the student with the key concepts and topics regarding (i) the modelling and the estimation of the term structure of interest rates, (ii) the pricing of bonds (both risk-free and default-risky), (iii) the risk management techniques for bond portfolios. Lectures will be held in a computer room. About 30% of the time will be dedicated to the practical implementation of the models.

Syllabus

1. The basics
Yield curve. Duration. Convexity. Hedging techniques in bond portfolios. No-arbitrage theorem. Term structure of interest rates. Forward rates. Nominal and real interest rates. Fixed-coupon bonds, floating-rate bonds, inflation-linked bonds.
2. Purely statistical models of the yield curve
Principal components analysis. Bootstrap method. Cubic splines. Nelson-Siegel model.
3. Equilibrium models
Single-factor models: Vasicek and Cox-Ingersoll-Ross. Multi-factor models. Using the models for implementing trading strategies.
4. No-arbitrage models
Pure no-arbitrage models: Ho-Lee, Hull-White, Heath-Jarrow-Morton. Using the models for the pricing of interest-rate sensitive derivatives and structured products.
5. Models for default-risky bonds
Corporate and sovereign bonds. Rating, default probability and loss given default in corporate and sovereign bonds. Intensity-based models: Duffie-Singleton and Duffee. Pricing credit default swaps.

References
- J. HULL, Options, futures, and other derivatives, (VII edition). Prentice Hall, NJ, 2008.
(chapters 4 and 28-32).
- Lecture notes and slides downloadable from the course website "http://dse.univr.it/berardi/mgp/mgp.htm".

Assessment methods and criteria

Written exam.