Quantitative Investment Management

Week 1: Overview & Introduction, Hybrids & Derivatives, Risk, Return & Arbitrage, Arbitrage Free Pricing Week 2:Intrinsic value of bonds, Arbitrage free pricing of bonds, Forward rates, Bond pricing with forward rates, Bond valuation with binomial trees, Pathwise valuation Week 3:Valuation of bonds with embedded options, Impact of yield curve changes on bond prices, Spot rates, Term structure of interest rates, YTM, Implied assumptions & issues with YTM, Yield spreads, Option adjusted spread (OAS) Week 4:Calculation of OAS, Uses of OAS, Interest rate risk & its measures, Macaulay duration of a bond & its properties, Yield curve shifts & duration Week 5:Duration of bonds with embedded options, Key rate & one sided duration, Modelling of return on fixed income securities Week 6:Immunizing a single liability, Bullet vs Barbell, Convexity issues, Effect of yield curve shifts, Portfolio statistics & cardinals. Yield curve strategies Week 7:Floaters, Caps & Floors & their valuation, Overview of Derivatives; Forwards: Introduction & Pricing, Arbitrage, Forwards Pricing on Consumption Assets; Futures: Introduction & Salient Features. Week 8:Options: Price Bounds, Put-Call Parity; American Options; Trading Strategies Week 9:Stochastic Processes: Basic Theory, Brownian Motion, Ito’s Equation; Stock Price Distribution Week 10:Option Pricing: Binomial Model, Black Scholes Model; Option Greeks Week 11:Futures: Margining & MTM, Basics of Futures Hedging, Applications of index futures & interest rate futures, Swaps & their applications Week 12:Mean Variance Portfolio Optimization, Systematic & Unsystematic Risk, CAPM & APT