This repository contains code and materials from the Fixed Income Securities and Hedging course, part of the Master's in Financial Economics at the Barcelona School of Economics (BSE). I completed this course during my final year of undergraduate studies as part of an advanced track.
The course is taught by Prof. Eulàlia Nualart and provides a rigorous and quantitative approach to pricing and hedging fixed income instruments. Topics include arbitrage pricing, duration and convexity, empirical hedging, and modeling of the term structure of interest rates.
The course covers key frameworks and tools used in fixed income markets:
- Arbitrage pricing and bond valuation
- Duration and convexity analysis
- Yield curve construction and term structure modeling
- Empirical hedging strategies using interest rate derivatives (forwards, futures, swaps, caps, floors, and swaptions)
notebooks/: Jupyter notebooks with implementations and analysisexcel/: Excel sheets with pricing models and calculationsdata/: Datasets used in coursework (if applicable)reports/– Summaries or reports developed for the courseproblem_sets/– Full solutions to course assignments
- Bond pricing and yield calculations
- Duration and convexity
- Yield curves and term structure models
- Interest rate risk management
- Bootstrapping discount curves
- Inflation-linked bonds and TIPS
- Hedging strategies using fixed income derivatives
- Python (NumPy, pandas, matplotlib)
Barcelona School of Economics – Master's in Financial Economics
This project is for educational purposes only. No commercial use is permitted without permission.