Prof. Stefano Herzel

Argomenti del programma: Week 1: BASICS Government Debt, Money Market, Repos, MBS, ABS, Derivatives Discount Factors, Interest Rates, The Term Structure of Interest Rates Week 2: INTEREST RATE RISK MANAGEMENT Duration, Convexity, Factor duration, Immunization, Asset-Liability Management Week 3: INTEREST RATE DERIVATIVES Forward, Swaps, Futures, Options Week 4: INFLATION AND MONETARY POLICIES The role of the central bank.