Fixed Income and Derivative Securities

Singapore University of Social Sciences

Fixed Income and Derivative Securities (FIN358)

Synopsis

Finance graduates are required to be well-grounded in the fundamentals of modern finance. Fixed income and derivative securities constitute an aspect of this knowledge base that equips students with the market and instrument knowledge as well as analytical and modelling methods for the pricing and hedging of these securities. FIN358 Fixed Income and Derivative Securities presents these instruments in a unified setting, thereby allowing for a streamlined approach which avoids redundancies at the level of the fundamentals and which admits synergistic comparisons at the level of applications. A broad range of topics covering basic concepts behind fixed income and derivative securities, pricing and hedging methods, modelling methods, the put-call parity, the yield curves, as well as strategies in hedging and structuring financial products are included in the treatment.

Level: 3
Credit Units: 5
Presentation Pattern: EVERY JULY

Topics

Basics of call and put options and put-call parity
Basics of futures contracts and swaps
Valuation of options using binomial and Black-Scholes Model and Option Greeks
Valuation of futures contracts and swaps
Hedging using interest rate, currency, credit, equity and other derivatives
Option and futures combination strategies
Fixed income securities: defining elements and term structure of interest rates
Introduction to fixed income valuation
Understanding fixed income risk and return
Introduction to asset-backed securities
The arbitrage-free valuation framework
Valuation and analysis of bonds with embedded options

Learning Outcome

Appraise the fundamentals of derivatives and their applications
Value derivatives with pricing models and their variations
Formulate strategies to hedge interest rate, currency, equity and other market risks
Assess and identify the risks and returns associated with fixed income securities
Compute value of fixed income securities and evaluate their risk and return
Calculate value of fixed income securities with embedded options
Use data technologies such as Excel or FactSet to create models for pricing and risk managing fixed income and derivative securities products effectively