Course Offerings
Course Details
Fall 2010-2011ECO 466 (SA) Graded A-F, P/D/F, Audit
Fixed Income: Models and Applications
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
Requirements/Grading:
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 number | Section | Time | Days | Room | Enrollment | Status |
---|---|---|---|---|---|---|
22783 | L01 | 08:30:00 am - 09:50:00 am | M W | Bendheim Center For Finance 103 | Enrolled:1 Limit:15 | |
22785 | C01 | 07:30:00 pm - 08:20:00 pm | W | Bendheim Center For Finance 103 | Enrolled:1 Limit:15 |