15.438 Fixed Income Securities and Derivatives


Class Info

Designed for students seeking to develop a sophisticated understanding of fixed income valuation and hedging methods, and to gain familiarity with the major markets and instruments. Emphasizes tools 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; and securitization. 15.437 strongly recommended.

This class has 15.401, 15.414, and 15.415 as prerequisites.

15.438 will not be offered this semester.

Lecture occurs 8:30 PM to 10:00 AM on Mondays and Wednesdays in E62-262.

This class counts for a total of 9 credits.

You can find more information at the MIT + 15.438 - Google Search site or on the 15.438 Stellar site.

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