This course covers topics in fixed income securities. Topics are chosen to cover the mechanics and pricing of modern-day fixed income products and can include: yield curve theories; forward rates; interest rate swaps; credit-default swaps; bonds with credit risk and options; bond duration and convexity; bond portfolio construction; asset-backed securities, including collateralized debt obligations and mortgage-backed securities with prepayment risk; asset-liability hedging; applications of binomial interest rate trees.
Recommended Background
An introduction to theory of interest (MA 2211 or equivalent) and the ability to work with appropriate computer software.