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 not be offered this semester. It will be available in the Spring semester, and will be instructed by D. Lucas.

Lecture occurs 10:00 AM to 11:30 AM on Tuesdays and Thursdays in E62-223.

This class counts for a total of 9 credits.

You can find more information at the 15.438 Class Site site.

Required Textbooks
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MIT 15.438 Fixed Income Securities and Derivatives Related Textbooks
MIT 15.438 Fixed Income Securities and Derivatives On The Web

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