Week 1 15th May 2021?

zoom Live class Basic Statistics section

Week 2 22 May 2021

Week 3 29 May 2021

Week 4 5 June , 2021

Week 5 12 June 2021

Week 6 19 June 2021

Week 7 26 June 2021

Week 8 10 July 2021

Week 9 17 July 2021

Week 10 24 July 2021

Week 11 31 July 2021

Week 12 7 August 2021

Week 13 14 August 2021

Week 14 21 August 2021

Week 15 28 August 2021

Book 1 Fundamentals of Risk Management

Book 3 Financial Markets and Products

Book 4 Valuation and Risk Models

C09 Pricing Conventions, Discounting and Arbitrage
  • Define discount factor and use a discount function to compute present and future values.
  • Define the “law of one price,” explain it using an arbitrage argument, and describe how it can be applied to bond pricing.
  • Identify arbitrage opportunities for fixed income securities with certain cash flows.
  • Identify the components of a US Treasury coupon bond and compare the structure to Treasury STRIPS, including the difference between P-STRIPS and C-STRIPS.
  • Construct a replicating portfolio using multiple fixed income securities to match the cash flows of a given fixed-income security.
  • Differentiate between “clean” and “dirty” bond pricing and explain the implications of accrued interest with respect to bond pricing.
  • Describe the common day-count conventions used in bond pricing
Scroll to Top