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FIN7513

FIXED INCOME

FIN7513

Course Description:

FIN 7513 Fixed Income (Formerly _Fixed Income Portfolio Management_)
3 credit elective

This advanced quantitative course is designed for students interested in fixed income portfolio management, as well as students interested in the sales and trading of fixed income securities and their related structured products. Topics covered include: (i) bond pricing and day count conventions; (ii) relative value and yield curve construction; (iii) duration, basis point value, and convexity; (iv) pricing and hedging of interest rate currency swaps; (v) Treasury bond futures, conversion factors, and the concepts of cheapest-to-deliver and implied repo; (vi) the repo (GC and special) market; (vii) credit risk and the pricing of high yield bonds and credit default swaps; and (viii) securitization, mortgage-backed securities, and collateralized mortgage obligations.

Prerequisite: FIN7200 OR FIN7800

This course is typically offered in the Fall.

Department:

Finance

Course Level:

MSF Core (Grad),Graduate Elective (Grad)

Course Credits:

3

Course Programs:

Graduate