Description: Designed for students seeking to develop a sophisticated understanding of fixed income valuation and hedging methods, and to gain familiarity with the major markets and instruments. Emphasizes tools for quantifying, hedging, and speculating on risk. Topics include duration; convexity; modern approaches to modeling the yield curve; interest rate forwards, futures, swaps and options; credit risk and credit derivatives; mortgages; and securitization. 15.437 strongly recommended.
Course #: 15.438
Professor(s) who recently taught this course:
Deborah Lucas