Pricing & Hedging Toolkit: Fixed Income and Derivatives

Four Excel models built on market data from Bloomberg. They cover pricing of Italian government bonds, yield curve construction, order books and margining on futures, the use of FRAs and interest rate swaps to hedge a bank’s interest rate risk, and option pricing across the main strategies (spreads, straddles, strangles, butterflies, condors), on both simulated and real data.

Pricing of fixed income instruments and derivatives, term structure construction, interest rate risk hedging, Greeks and payoff analysis.

Advanced Excel, Bloomberg Terminal.

Clean and dirty price, YTM, bootstrapping and interpolation of the spot and forward curve (Euribor, €STR, IRS), futures cost of carry and arbitrage, FRA and IRS pricing, binomial trees, Black–Scholes and implied volatility, Greeks, put-call parity.