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Course Offerings

Course Evaluation Results

Course Details

Fall 2010-2011
ECO 466 (SA)   Graded A-F, P/D/F, Audit

Fixed Income: Models and Applications

Ana Babus

This course will deal with no-arbitrage models of contracts based on interest rates including bonds, forward and future contracts, swaps, options and other derivatives. We will develop the theory of arbitrage-free pricing of financial assets in discrete and continuous time, as well as many special models that can be used to price and hedge fixed income securities.

Sample reading list:
James and Webber, Interest Rate Modeling, 1st ed.
Cairns, Interest Rate Models, 1st Ed.
Brigo and Mercurio, Interest Rate Models: Theory and Practice, 1st ed.
Veronesi, Fixed Income Securities
See instructor for complete list

Reading/Writing assignments:
Five homework assignments

Mid Term Exam - 30%
Final Exam - 50%
Problem set(s) - 20%

Other Requirements:
Open to Juniors and Seniors Only.

Prerequisites and Restrictions:
ECO 362 or FIN 501, ECO 465 (concurrent enrollment is acceptable) Multivariate Calculus, Introduction Probability/Statistics.

Schedule/Classroom assignment:

Class numberSectionTimeDaysRoomEnrollmentStatus
22783 L01 8:30 am - 9:50 am M W   Bendheim Center For Finance   103   Enrolled:1 Limit:15
22785 C01 7:30 pm - 8:20 pm W   Bendheim Center For Finance   103   Enrolled:1 Limit:15