15 438 - Fixed Income Securities and Derivatives

Description
Prereq: 15.401, 15.414, or 15.415. Develops an overall familiarity with fixed income markets and instruments, and a sophisticated understanding of tools - for valuation, and 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; securitization; and public policy and regulation. 15.437 strongly recommended. Final examination.
Credits
9
Recent Professors
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Recent Semesters
Spring 2020
Offered
TuTh
Avg. Sections
1