Fixed Income Securities

Department: 
MATH
Course Number: 
6769
Hours - Lecture: 
3
Hours - Lab: 
0
Hours - Recitation: 
0
Hours - Total Credit: 
3
Typical Scheduling: 
Every spring semester

Description, institutional features, and mathematical modeling of fixed income securities. Use of both deterministic and stochastic models. Crosslisted with ISYE 6769.

Prerequisites: 

MATH 3215 and (MGT 6060 or MGT 6078)

Course Text: 

No text

Topic Outline: 
  • Introduction to Fixed Income Securities
  • Bond Calculations
  • Quantifying Interest Rate Risk
  • Floating Rate Notes and Interest Rate Swaps
  • Risk Management, Accounting, and Control
  • Stochastic Interest Rate Models
    • Bonds, Forward and Futures Contracts: Discrete- and Continuous-Time Models
    • Term Structure: Discrete- and Continuous-Time Models
    • Factor Spot Rate Models: Discrete- and Continuous-Time
    • Yield Curve Models and the Heath-Jarrow-Morton Model
  • Forwards, Futures and Options, caps and caplets, swaps
  • Credit Risk on Corporate Bonds
  • Emerging Market Debt
  • Mortgages and Mortgage Derivatives