Fixed Income

Course Number: 46956

This course introduces the most important securities traded in fixed income markets and the valuation models used to price them. Payoff characteristics and quotation conventions will be explained for treasury bills and bonds, STRIPS, callable bonds, mortgage-backed securities, and derivative securities like swaps, caps, floors, swaptions, and options on bonds. Basic concepts will be explained such as the relation between yields and forward rates, duration, convexity, and factor models of yield curve dynamics. Key concepts for interest rate derivative valuation will be introduced using discrete time versions of the Ho-Lee and Black-Derman-Toy models. Text: Bruce Tuckman, Angel Serrat. "Fixed Income Securities," 3rd ed., (University Edition) ISBN# 0-470-90403-8 (paperback contains exercises) 0-470-89169-6 (hardcover does not contain exercises but will be posted on course site).

Concentration: Mathematics
Semester(s): Mini 1
Required/Elective: Required
Prerequisite(s): None