|Semester||Spring Semester, 2021|
|Department||MA Program of International Business, First Year MA Program of International Business, Second Year|
|Course Name||Fixed Income Securities: Analytics and Derivatives|
Spring 2021 Classes will meet on Wednesdays.
Student workload expectation (學習投入時間): 3-4.5 hours of self-study per weekly class meeting of 3 hours. That is: Outside-of-class Hours (課程前後) is 3-4.5 per Weekly Class Hours (課堂講授) of 3.
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?
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.
The final will be handed out two weeks before the last class and will be due in the last class.
Assignments: 20%, Midterm Exam: 40%, Final Exam or Final Project: 40%.
|Textbook & Reference|
Required: Frank Fabozzi, Bond Markets, Analysis and Strategies, 9th Edition, Prentice Hall, 2016.
Recommended: John Hull, Options, Futures, and Other Derivatives, 10th Edition, Prentice-Hall, 2018. (Importer: Yeh-Yeh Book Gallery, Taipei)
Recommended: 黃泓人 譯: 期貨與選擇權市場 (Hull/ Fundamentals of Futures and Options Markets 9e), 華泰文化事業股份有限公司, 2019, ISBN: 9788880002628.
Recommended: Simon Benninga. Financial Modeling, 4th Edition, The MIT Press, 2014. ISBN: 978-0-262-02728-1. (Importer: Tung-Hua Book Co., Taipei)
Recommended Co-requisite/Pre-requisite Reading: Bradford D. Jordan, Fundamentals of Investment: Valuations and Management, International Ninth Edition, Paperback, McGraw-Hill Book Co., 2021, Imported by Hwa-Tai Book Co., Taipei. (ISBN: 978-1-260-57033-5).
On Course Reserve: Frank Fabozzi: The Handbook of Fixed Income Securities, Ninth Edition (ISBN-13: 9781260473896), McGraw-Hill, Release Date: June 2021.
On Course Reserve: Fortune Magazine 2021 Investor’s Guide (Asian Pacific Edition), Published on December 15, 2020, ISSN 0738-5587
|Urls about Course|
Syllabus_of_Fixed_Income_Securities_for_Graduates 109_2 2021 update compact.pdf