Syllabus academic year 2011/2012
(Created 2011-09-01.)
Credits: 7,5. Grading scale: TH. Cycle: G2 (First Cycle). Main field: Technology. Language of instruction: The course will be given in Swedish. EXTF30 overlaps following cours/es: NEKB25 and NEKG81. Optional for: I4. Course coordinator: Docent Hans Byström,, Department of Economics. Prerequisites: Microeconomics for Technicians (VFT120, TEK115, TEK116 or EXTA40). Assessment: Tuition consists of lectures, exercises and computer exercises. Written exams take place at the end of the course. There will be further opportunities for examination close to this date. The computer exercises will be graded, and the marks carried forward to examinations taken the same term. Home page:

Students shall have demonstrated a thorough understanding of how the fixed income markets function and shall have acquired the ability to explain the basic logic behind the models and analytical tools used by actors in the this market. Particular focus lies on Swedish fixed income markets.

Knowledge and understanding
For a passing grade the student must

have a good understanding of:

· pricing of simple debt instruments such as bills, notes and bonds,

· the relationship between short-term and long-term interest rates,

· the relationship between forward and spot markets (fixed income),

· basic fixed income risk management,

· duration analysis,

· value-at-risk analysis

· the link between the foreign exchange market and the fixed income market,

· forwards and futures in the currency market,

· prediction of exchange rates,

· important relationships that describe the link between fixed income and currency markets in different countries,

· advanced fixed income and credit instruments and markets,

Skills and abilities
For a passing grade the student must

have the ability to independently:

· structure and defend a complex theoretical argument,

· use theories and concepts to price simple fixed income instruments,

· use theories and concepts to manage the risk of simple fixed income instruments,

· explain important events in the fixed income market,

· use simple computer tools.

Judgement and approach
For a passing grade the student must

have developed the ability to pursue further studies in the subject and should be able to search for and evaluate information with a high degree of independence.

The course is divided into three parts. The first part contains a description of the Swedish fixed income market, where the function of basic fixed income instruments and markets is explained. In the second part students study the risk management of both individual fixed income assets and of portfolios of such assets. The third part treats the international fixed income market. The foreign exchange market and its link with the national fixed income markets are also discussed.

Asgharian, Hossein and Lars Nordén (2007): Räntebärande instrument: värdering och riskhantering, Studentlitteratur
Hässel, Leif and Marie Norman (2001): De finansiella marknaderna i ett internationellt perspektiv, SNS förlag
Supplementary material