Fixed Income is a very important assert class, where Fixed Income derivatives in the Eurozone toppled $132.6 trillion. For example, roughly fifty percent of the investment portfolios of Dutch pension funds are composed of fixed income related instruments. Furthermore, the balance sheets of most banks consist of short- and long-term bonds. Consequently, interest rate fluctuations are extremely important for the well-being of firms, financial institutions, and the overall financial sector of most economies. This course provides the ingredients for effective and efficient fixed income management.

We will be covering the following topics: Arbitrage pricing, swaps, interest rate sensitivity, interest rate models, repurchase agreements, mortgages and mortgage backed securities, credit default swaps and fixed income options.

The Objective of the course: To make you understand (in a quantitative way) Fixed Income and its derivatives in and out. We will be utilising workshops to achieve this objective, these will be combined with (working) lectures, and a variety of (effective) ways to learn to make your experience enjoyable.

Sundaresan, S. "Fixed Income Markets and Their Derivatives", Third Edition, 2009; Harvard Business Cases; additional literature that will be provided throughout the course

Courses and workload are very demanding for all Financial Economics Master courses. Exchange students need to have obtained a Bachelor degree in economics or business administration. Exchange students need to major in finance in their Master. A sufficient interest in quantitative methods is essential.
An advanced level of English