In this project, I acted as the technical and operational bridge between the student team and our mentor, Costantino Forgione, a former Managing Director at JPMorgan and Deutsche Bank. My primary contribution was twofold: I collaborated closely with Costantino to help the team execute the complex financial exercises, translating institutional pricing logic into solvable models, and I personally handled the entire LaTeX typesetting to ensure the final report met the rigorous presentation standards of a professional financial publication.
The work itself offers a comprehensive analysis of fixed income securities, designed to bridge the gap between academic theory and the practical realities of trading desks. We started by investigating how the Italian tax regime and cash flow timing impact net yields, proving that identical nominal returns can result in significantly different after-tax performance. From there, we moved into complex valuation territory, modeling instruments with embedded options—such as the BTP Più puttable bond and step-down callable notes—to quantify the specific value of issuer and investor optionality. The project also addressed market microstructure by using live ETF order book data to assess liquidity execution costs , and it concluded with a deep dive into Asset-Backed Securities (ABS), where we designed tranching strategies to optimize risk and return for equity and senior investors. Ultimately, by combining Costantino’s elite market experience with my technical support in modeling and document engineering, we produced a practical framework valuable for private bankers and asset managers navigating today's complex interest rate environment.