FINC 555 - Fixed Income Analysis

3 credit hours

This course is designed to provide the student with an understanding of the valuation and risk management concepts in the fixed income markets. A variety of fixed income securities will be discussed. These include pure discount bonds, coupon bonds, callable bonds and home mortgages. Interest rate derivatives (e.g. forwards and futures on fixed income securities, bond options, caps and floors) will also be discussed. In addition to learning the models for pricing a variety of fixed income securities, we will also study some tools that are useful in bond portfolio management, including the construction of discount function, duration and convexity measures for risk management. The course involves a mix of lectures, cases, and computer exercises. Prerequisite: FINC 540 and 542.