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Searched for: "15.438" Subjects offered any term 1 subject found.
15.438 Fixed Income Securities and Derivatives
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Prereq: 15.401, 15.414, or 15.415
Units: 3-0-6
Lecture: MW8.30-10 (E62-262) +final
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.
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Textbooks (Spring 2018)
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