MATH-GA.2803-001 Fixed Income Derivatives: Models & Strategies In Practice (1st Half Of Semester)

1.5 points

Course Description

Armed with a foundation in bond math and the theory and implementation of interest-rate models, many fixed-income quants are challenged to understand how these concepts and tools are deployed in the sales/trading environment.  Often the economic content of a simple trade idea gets obscured by market jargon, especially in a competitive transactional environment.  The class will focus on the practical workings of the fixed-income and rates-derivatives markets.

The content is motivated by a representative set of real-world trading, investment, and hedging objectives. Each situation will be examined from the ground level; risk and reward attributes will be identified. This strategy will reinforce the link from underlying market views to the applicable product set and to the tools for managing the position. Common threads among products – structural or model-based – will be emphasized. We plan on covering bonds, swaps, flow options, semi-exotics, and some structured products.

This problem-oriented holistic view is a productive way to understand the line from product creation to modeling, marketing, trading, and hedging. We hope to convey intuition about both the power and limitations of models. How do sell-side practitioners manage the various constraints and imperfections in the context of changing market backdrops and customer demands?


Familiarity with the foundational mathematical tools of finance; basic understanding of the motivation for and the machinery of pricing models in the interest-rate domain; programming skills; basic proficiency in Excel. Some product knowledge of interest-rate products is helpful but not required.

Recent Offerings


Sample Exams


Recommended Texts