15.438 Fixed Income Securities and Derivatives


Class Info

Develops an overall familiarity with fixed income markets and instruments, and a sophisticated understanding of tools - for valuation, and 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; securitization; and public policy and regulation. 15.437 strongly recommended.

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

15.438 will be offered this semester (Spring 2019). It is instructed by D. Lucas.

Lecture occurs 1:00 PM to 2:30 PM on Tuesdays and Thursdays in E62-223.

This class counts for a total of 9 credits.

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