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Mar 29, 2024
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NBA 5550 - Fixed Income Securities and Interest Rate Options Fall. 3 credits.
Prerequisite: NCC 5060 , NCC 5010 .
R. Jarrow.
Designed to study the pricing, hedging, and risk management of fixed-income securities and interest rate derivatives. Topics include the term structure of interest rates, interest rate swaps (caps, floors, collars), the risk structure of interest rates, credit risk spreads, and corporate bond valuation. The method of instruction is lectures and discussion, and computer illustrations are an integral part of the course content. A secondary theme of the course is the use of models for risk management.
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