Fixed income mathematics

lactu2020  2018-2019  Louvain-la-Neuve

Fixed income mathematics
5 credits
30.0 h + 15.0 h
Devolder Pierre;
Main themes
The main theme is the study of interest rates products. After an introduction devoted to the interest theory, the theory of loans and bonds is developed. The management of interest rates risks in finally analysed.

At the end of this learning unit, the student is able to :


The aim of this course is to present the basic methods of financial deterministic mathematics. At the end of the course, the students must be able to price simple financial products and manage the risks associated with different interest rates.


The contribution of this Teaching Unit to the development and command of the skills and learning outcomes of the programme(s) can be accessed at the end of this sheet, in the section entitled “Programmes/courses offering this Teaching Unit”.
Content The following topics will be developed: 1. Generalities on interest 2. Principle of simple interest 3. Principle of compound interest 4. Financial structure with more than 2 cash flows - simple interest 5. Financial structure with more than 2 cash flows - compound interest 6. Annuity 7. Loans 8. Bonds 9. Term structure of interest rates 10. Spot rates 11. Risks of interest rates 12. Duration, convexity and immunisation Methods In-class activities X0 Lectures X0 Exercices/PT At home activities X0 Exercices to prepare the lecture X0 Paper work
Other information
Evaluation : Class participation and written examination, in French Support : Slides provided through icampus References : based on the book : "le financement des régimes de retraites" (Pierre Devolder, Economica, Paris)
Les transparents se basent principalement sur
- Devolder, P., Fox, M., Vaguener, F. (2012). Mathématiques Financières. Pearson.
Faculty or entity

Programmes / formations proposant cette unité d'enseignement (UE)

Title of the programme
Master [120] in Mathematics

Master [120] in Actuarial Science

Master [120] in Mathematical Engineering