Fixed income mathematics: analytical and statistical techniques

Overview of fixed income securities and derivatives

Future value

Present value

Yield (internal rate of return)

The price of a bond

Conventional yield and spread measures for bonds

The yield curve, spot rate curve, and forward rates

Potential sources of dollar return

Total return

Measuring historical performance

Price volatility of properties of option-free bonds

Duration as a measure of price volatility

Combining duration and convexity to measure price volatility

Duration and the yield curve

Interest rate models

Call options : investment and price characteristics

Valuation and price volatility of bonds with embedded options

Credit risk concepts and measures for corporate bonds

Measures used for securitized products

Cash flow characteristics of amortizing loans

Cash flow characteristics of mortgage-backed securities

Prepayment models for mortgage-backed securities

Basics of MBS structuring

Analysis of agency mortgage-backed securities

Basics of probability theory and statistics

Regresssion analysis

Statistical techniques for credit scoring and risk factor identification

Tracking error and multifactor risk models

Simulation

Optimization models.

Overview of fixed income securities and derivatives (new)

Future value

Present value

Yield (internal rate of return)

The price of a bond

Conventional yield and spread measures for bonds

The yield curve, spot rate curve, and forward rates

Potential sources of dollar return

Total return

Measuring historical performance

Price volatility of option-free bonds

Duration as a measure of price volatility

Combining duration and convexity to measure price volatility

Duration and the yield curve

Interest rate modeling (new)

Investment and price characteristics of options

Valuation and price volatility of bonds with embedded options

Credit risk concepts and measures for corporate bonds (new)

Measures used for securitized products

Cash flow characteristics of amortizing loans

Cash flow characteristics of mortgage-backed securities

Prepayment modeling (new)

Basics of MBS structuring (new)

Analysis of agency mortgage-backed securities

Basics of probability theory and statistics

Regresssion analysis

Statistical techniques for credit scoring and risk factor identification (new)

Tracking error and multi-factor risk models (new)

Monte Carlo simulation

Optimization.