Economics 291: Fixed Income Securities (Independent Study)
Spring 2008, Willis 211

Lecturers: Hugh Cameron, Mark Merrill, Ross Palash

Reader: Pavel Kapinos

 

 

 Tentative Syllabus

Date

Lecture

References

April 2  (We)

Lecture 1:
Bond Prices, Discount Factors and Arbitrage (Mark)
Spot and Forward Rates (Ross)
Yield to Maturity (Hugh)

Tuckman 1—3
Problem Set 1: End-of-chapter exercises

April 9 (We)

Lecture 2:
Generalizations and Curve Fitting (Mark)
Measures of Price Sensitivity: DV01, Duration, Convexity (Ross)
Measures of Price Sensitivity: Parallel Yield Shifts (Hugh)

Tuckman 4—6
Problem Set 2: End-of-chapter exercises

April 16 (We)

Lecture 3
Key Rate and Bucket Exposure (Mark)
Regression-based Hedging (Ross)
The Science of Term Structure Models (Hugh)

Tuckman 7—9
Problem Set 3: End-of-chapter exercises

April 21 (Mo)

Exam I

Lectures 1—3, problem sets 1—3

April 23 (We)

Lecture 4
The Short-rate Process and the Shape of the Term Structure (Hugh)
The Art of Term Structure Models: Drift (Mark)
The Art of Term Structure Models: Volatility and Distribution (Ross)

Tuckman 10—12
Problem Set 4: End-of-chapter exercises

April 30 (We)

Lecture 5
Multi-factor Models Term Structure Models (Hugh)
Trading with Term Structure Models (Mark)
Repo (Ross)

Tuckman 13—15
Problem Set 5: End-of-chapter exercises

May 5 (Mo)

Research Proposal Due

 

May 7 (We)

Lecture 6
Forward Contracts (Hugh)
Eurodollar and Fed Funds Futures (Mark)
Interest Rate Swaps (Ross)

Tuckman 16—18
Problem Set 6: End-of-chapter exercises

May 14 (We)

Lecture 7
Fixed Income Options (Ross)
Note and Bond Futures (Mark)
Mortgage-backed Securities (Hugh)

Tuckman 19—21
Problem Set 7: End-of-chapter exercises

May 21 (We)

Exam II

Everything

June 4 (We)

Research Paper Due

 

Links:
Macroeconomic updates: Global Economic Forum by Morgan Stanley
Financial and Economic News: CNN Money,  Economist, Wall Street Journal
Nobel Prize Laureates in Economics
FRED II database by the Federal Reserve Bank of Saint Louis (U.S. data)