Semester | Fall Semester, 2020 | ||
Department | Junior Class A, Department of International Business Junior Class B, Department of International Business Senior Class A, Department of International Business Senior Class B, Department of International Business | ||
Course Name | Fixed Income Securities: Analytics and Derivatives | ||
Instructor | FU YEE-TIEN | ||
Credit | 3.0 | ||
Course Type | Elective | ||
Prerequisite |
Course Objective |
Course Description |
Course Schedule |
Spring 2020 Classes will meet on Wednesdays. Weekly Topics Weeks 2 and 3
Week 6 Default-free Bonds Valuation: Bonds with Embedded Options + Fixed Income Derivatives Weeks 10 and 11 Callable Bonds, Convertible Bonds and Prepayment
Weeks 15 and 16 What are the typical objectives of portfolio management? What are the risks involved? How are portfolios formed to achieve the objectives? How is performance evaluated?
Risk Management Week 17 Notes on VaR, and Risk Management at LTCM Financial institutions can greatly increase the level of business that can be supported by a given amount of capital if they can accurately quantify and manage risk.
Each group will have 15/20 minutes to describe their project, after which we will have 5 minutes for questions from the rest of the class - three/four group presentations per session.
Review/Final Exam The final will be handed out two weeks before the last class and will be due in the last class. |
Teaching Methods |
Teaching Assistant |
TBA. |
Requirement/Grading |
Four Quizzes 20%, Midterm Exam 40%, Final Exam 40% |
Textbook & Reference |
Required: Frank Fabozzi, Bond Markets, Analysis and Strategies, 9th Edition, Prentice Hall, 2016. Required for a group of four participants: John Hull, Options, Futures, and Other Derivatives, 10th Edition, Prentice-Hall, 2018. Required for a group of four participants: Simon Benninga. Financial Modeling, 4th Edition, The MIT Press, 2014. ISBN: 978-0-262-02728-1. The following five modules are from Fabozzi 8th Edition, Global Edition: Bond Derivatives: CH19, CH26, CH27, CH28, CH29
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Urls about Course |
TBA |
Attachment |
Syllabus_of_Fixed_Income_Securities_for_undergraduates 109_1 2020.pdf |