SemesterFall Semester, 2023
DepartmentIMBA Program, First Year IMBA Program, Second Year
Course NameBond Market Analysis
Course TypeElective
Course Objective
Course Description
Course Schedule




Lecture Notes (PowerPoint Slides)


*Introduction                                                                                                                *The U.S. financial markets-2022                                                           



*Overview of global fixed-income securities markets

Cls1b-The US Financial Markets-2022                                                                              


*Fixed income securities: concept, terminology, and types                                                                             

Cls1c-Fixed Income Securities:  Concept, Terminology, and Types                                       

6 Oct to   27-Oct

*Bond Math Fundamentals: Interest rates, present value, future value, bond prices, yield-to-maturity, duration and convexity, total rate of returns, immunization of bond portfolios, and bond indexes

Cls2-Bond Math Fundamentals


*The bond forward market

Cls3-Analysis of Bond Forwards


*The bond futures market

Cls4-Analysis of Bond Futures


*The swaps market

cls5-Analysis of Interest Rate Swaps


*Residential mortgages and residential mortgage market                                                                                         *Basics of asset-backed securities  

Cls6a-Residential Mortgages                                                                               Cls6b-Residential Mortgage Market                                                                   

1 Dec -         8 Dec

*Residential mortgage backed securities                                                        *Agency RMBS

Cls7a-Residential Mortgage Backed Securities                                                                      Cls7b-Agency RMBS                                                                                                 


*Corporate bond and structure financed credit ratings

Cls8-Corporate Bond and Structured Finance Credit Ratings


*The financial crisis of 2008 and bank failures of 2023

Cls9-Financial Crises and the Banking Failures


Teaching Methods
Teaching Assistant

The course grade will be determined by the “individual conduct” throughout the semester and the group performance of an investment project at the end of the semester.  The individual conduct throughout the semester is defined as: 

  ??Attending class regularly

  ??Arriving at class punctually

  ??Participating in class discussion actively

  ??Paying close attention to class lectures


The group investment project is actually the final exam.  All groups will be given a fixed amount of money (hypothetically) to invest in designated fixed-income securities for a given period of time.  The project consists of two parts:  First, calculate the total rate of return of the investment in each of the designated securities under various interest rate scenarios during the investment period.  Second, explain why the performance (different rates of return) of these securities varies significantly depending on the interest rate scenario.  The investment project is scored by group, members of the same group will receive the same score. 


Students who maintain a perfect, or near perfect (missing class only once) record of class attendance will be awarded merit points to improve their grades.  No grade will be given if missing four class meetings (more than 25% of class meeting hours) during the semester.  The class will be curved relative to overall student performance.  I will do my best to be fair in assigning grades.  When the course grades are announced, they are final.  Nothing can be done to change the course grades.   

Textbook & Reference

  1. Joseph Hu, Bond Math Fundamentals, Lecture notes prepared for the course of Analysis of Fixed-Income Securities, 2016

  2. Marcia Stigum and Anthony Crescenzi, Stigum’s Money Market, fourth edition, McGraw-Hill, 2007.

  3. Joseph Hu, Basics of Mortgage-Backed Securities, second edition, Frank J. Fabozzi Associates, 2001, (distributed by John Wiley & Sons, Inc.), 2001.

  4. Joseph Hu, Asset Securitization:  Theory and Practice, John Wiley & Sons, Inc., 2011. 

Urls about Course

Syllabus_Bond Market Analysis_IMBA_2023.pdf