Advanced Fixed Income Professional Certificate

New York Institute of Finance

ITEM FIPR0500

12 Aug 2024 - 16 Aug 2024

09:00 AM - 04:30 PM

$5,995.00

group

In-person (NY Campus)

update

5

language

English

school

Advanced

12 Aug 2024 - 16 Aug 2024

09:00 AM - 04:30 PM

$5,995.00

videocam

Virtual (Full-time)

update

5

language

English

school

Advanced


Questions? We're here to help you

Please complete this form and a NYIF Career Advisor will assist you.



Please fill in the field.

Next

Please complete this form and a NYIF Career Advisor will assist you.



Please fill in the field.

Prev
Next

Please complete this form and a NYIF Career Advisor will assist you.


Please fill in the field.

Prev
Next

Select preferred contact method

Schedule call

call center image

or

Please fill in the field.

Send us your questions

email image
Prev

Where Wall Street Goes to SchoolTM!

Please select a time and date from the calendar to book a 15-minute call with a NYIF Career Advisor.

You can also reach us on +1 347 842 2501 or marketing@nyif.com

Something went wrong, please try again later!

17

Advanced Fixed Income Professional Certificate

Develop advanced desk-ready skills for fixed income professionals. Learn the essential mathematics for term structure modeling and interest rate derivatives valuation in an accessible and intuitive fashion. Understand and apply the various approaches to constructing yield curves. Build interest rate models in discrete and continuous time. Develop expertise in the theory and application of numerical methods to price interest rate instruments including the use of finite difference techniques. The Bloomberg Professional terminal is used extensively.

CPE Credits: 35

This Professional Certificate comprises the following courses:

 

Prerequisite knowledge:

  • Intermediate to advanced MS Excel skills
  • Some knowledge of differential and integral calculus
  • Intermediate probability and statistics
  • Basic linear algebra
  • Familiarity with fixed income instruments, term structures, etc.

Learn now pay later with

To make it even easier to learn, you can finance your program through Affirm.

Loans offered through Affirm are available in the U.S. and Canada.

  • Easy monthly payments

    Learn more

  • Flexible payments

    Pay your monthly bill using a bank transfer, check, or debit card.

Module 1: Review of Fixed Income Basics

  • The no-arbitrage pricing principle
  • Pricing vanilla fixed income instruments
  • Risk measures: Duration and convexity
  • Forwards and futures
  • Swaps
  • Options

Module 2: Yield Curve Fundamentals

  • Term structures: spot and forward rates
  • Instantaneous interest rates
  • Theories of the yield curve
  • Economic implications of the shape of the yield curve

Module 3: A Taxonomy of Yield Curves

  • Spot rate curves
  • Swap curves
  • Corporate curves
  • Mortgage curves

Module 4: Yield Curve Fitting

  • Fitting a curve to the bond market
  • Nelson-Siegel and Nelson-Siegel-Svensson functions
  • Polynomial and exponential splines
  • Plotting bond yields against the fitted curve
  • Yield spreads to the fitted curve

Module 5: Trading the Curve

  • Interpretation and forecasting yield curve movements
  • Fiscal and monetary policy
  • Parallel yield curve shifts
  • Non-parallel curve shifts (steepening/flattening/barbell)
  • Econometric forecasting models
  • Understanding and interpreting yield curves
  • Yield curve strategies
  • Total return analysis for yield curve shifts

Module 1: Taxonomy of Interest Rate Models

  • One factor vs. multi-factor models
  • Equilibrium models
  • No-arbitrage models
  • Spot rate models
  • Term structure models

Module 2: Discrete Time Interest Rate Models

  • Discrete time vs. continuous time
  • Objective vs. risk-neutral probabilities
  • No-arbitrage in discrete time
  • Binomial models
  • Recombining vs. non-recombining trees
  • Normal vs. log-normal models
  • Risk-neutral valuation on a binomial tree
  • Risk-neutral expectation of future interest rates
  • Trinomial trees

Module 1: Continuous Time Stochastic Processes

  • The Wiener process as the limit of a random walk
  • Brownian motion and Ito processes
  • Functions of stochastic processes
  • Ito's lemma

Module 2: Continuous Time Interest Rate Models

  • No-arbitrage in continuous time
  • The Black-Scholes-Merton partial differential equation
  • Black's model for fixed income derivatives
  • Vasicek bond pricing formula
  • Cox, Ingersoll and Ross model
  • Forward risk neutral pricing
  • The Libor Market model

Module 3: Multi-Factor Interest Rate Models

  • Ito's lemma with independent factors
  • A two-factor Vasicek Model
  • Black's model for fixed income derivatives
  • Vasicek bond pricing formula
  • Cox, Ingersoll and Ross model

Module 1: Pricing American Options

  • Callable bonds
  • American swaptions
  • Prepayment options

Module 2: Overview of Numerical Methods

  • Valuation techniques for path dependent options
  • Monte Carlo basics
  • Finite difference methods
  • Numerical Integration

Module 3: Monte Carlo Simulation: Discrete Models

  • Exotics: Path dependency
  • Monte Carlo simulation for Asian interest rate options
  • Spot rate duration by Monte Carlo simulation

Module 1: Monte Carlo Simulation: Continuous Models

  • Simulating continuous interest rate processes
  • Pricing a range floater
  • Hedging with Monte Carlo simulation
  • Convexity by Monte Carlo simulation
  • Techniques for accelerating convergence
  • Pros and Cons of Monte Carlo techniques

Module 2: Finite Difference Methods: One Factor Models

  • The fundamental PDE and boundary conditions
  • Explicit finite difference methods
  • Implicit finite difference methods
  • Crank-Nicolson method
  • Pricing bond options by Crank-Nicolson

Module 3: Finite Difference Methods: Two Factor Models

  • Explicit finite difference methods
  • Alternating direction implicit method
  • Hopscotch method

Module 4: Desk Ready Skills Knowledge Check

Customize Advanced Fixed Income Professional Certificate

* Required Fields

Your Customization
Advanced Fixed Income Professional Certificate

In stock

$5,995.00

Summary