Week 1: BASICS
Government Debt, Money Market, Repos, MBS, ABS, Derivatives
Discount Factors, Interest Rates, The Term Structure of Interest Rates
Week 2: INTEREST RATE RISK MANAGEMENT
Duration, Immunization, Asset-Liability Management
Week 3: INTEREST RATE DERIVATIVES
Forward, Swaps, Futures, Options
Week 4: INFLATION AND MONETARY POLICIES
The role of the central bank. Forecasting and interpreting the term structure.
Week 5: TERM STRUCTURE MODEL IN DISCRETE TIME
One-step binomial trees, multi-step binomial trees, Risk-neutral trees.
TERM STRUCTURE MODELS IN CONTINUOUS TIME
Vasicek and Cox-Ingersoll-Ross models
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