Gestão de Activos e Passivos

Objectivos

NA

Caracterização geral

Código

400063

Créditos

7.5

Professor responsável

João Pedro Vidal Nunes

Horas

Semanais - A disponibilizar brevemente

Totais - A disponibilizar brevemente

Idioma de ensino

Português. No caso de existirem alunos de Erasmus, as aulas serão leccionadas em Inglês

Pré-requisitos

Interest rate risk immunization

  1. Multi-period immunization
  2. ALM

 Futures on bonds

  1. Definitions
  2. Conversion factors
  3. Cheapest-to-deliver
  4. Pricing
  5. Hedging

Traded options on short-term interest rates

  1. Description
  2. Pricing under stock-style margining
  3. Pricing under Futures-Style margining
  4. Hedging of interest rate risk

Over-the-counter options on interest rates

  1. Market model
  2. Caps, floors e collars
  3. Swaptions

Bibliografia

  • Martellini L., P. Priaulet, and S. Priaulet (2003). Fixed-Income Securities: Valuation, Risk Management and Portfolio Strategies (1st Ed), John Wiley & Sons.
  • Hull, J. (2014). Options, Futures, and Other Derivatives (9th Edition). New York: Pearson Prentice Hall.
  • Jha S. (2011). Interest Rate Markets: A Practical Approach to Fixed Income (1st Edition), Wiley.
  • Veronesi (2011). Fixed income securities: valuation, risk, and risk management. John Wiley & Sons.

Método de ensino

...

Método de avaliação

Português. Em caso de existirem alunos ou professores estrangeiros, as aulas serão dadas em Inglês. 

Conteúdo

The course will be based on 15 lectures, 2 per week. During classes, real-life examples based on traded products and on financial data collected from the Bloomberg system will be presented. A wide variety of teaching methodologies will be employed, including theoretical expositions, problem solving activities, and open class discussions.

Cursos

Cursos onde a unidade curricular é leccionada: