Straight bond. Clean and dirty prices. Yield to maturity. Bootstrapping. Synthetization. Forward yields. Inflation-linked bond. Macaulay and modified durations. Immunization. Convexity. Credit spread. Risk-neutral and historical probabilities of default. Level-payment mortgage. Tilt and affordability problem. Graduated-payment mortgage. Effective yield. Bond-equivalent yield. Certificate of deposit. Treasury bill. Sale and repurchase agreement. ... and more

Interest rate swap. Speculative, arbitrage and hedging strategies (new issue arbitrage, warehousing). Valuation. Forward rate agreement (FRA strips, pricing links with futures, standardized FRA. Currency swap. Speculative, arbitrage and hedging strategies (new issue arbitrage, warehousing). Valuation. Equity swap (with fixed and variable notional amount). Swaption. Credit swap (CDS, TROR, leverage). Credit option and forward. ... and more

Basic features of forwards and futures (margins, marking-to-market, limits, delivery process). Examples of futures contracts (stock index, currency, interest rate). Model cost-of-carry (covered and uncovered interest rate parity). Valuation of futures contracts. Speculative trades (leverage, open position and spread trading, butterfly spread). Arbitrage trades (box and conversion arbitrage). Hedge trades (basis risk, interpolative hedge, minimum variance hedge), ... and more

Call and put option (profit/loss profile, intrinsic and time value). Examples of option contracts. Option combinations (straddle, spreads, covered call, protective put). Binomial model, Black-Scholes formula. Volatility smile. Sensitivity analysis (option delta and gamma, delta and gamma hedging). Put-call parity. Speculative, arbitrage and hedging strategies (open position, spread and volatility trading, box arbitrage). Exotic options (Asian, binary, barrier, compound). ... and more