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Searched for: 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
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; with applications to recent market and financial policy developments.
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