syllabus - NEW YORK UNIVERSITY STERN SCHOOL OF BUSINESS...

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NEW YORK UNIVERSITY STERN SCHOOL OF BUSINESS Debt Instruments and Markets Syllabus for FINC-UB.0026 Fall 2011 Professor Jennifer N. Carpenter Office: K-MEC 9-99 Office hours: Mon 5-6 or by appointment e-mail: [email protected] Phone: 998-0352, Fax: 995-4233 http://www.stern.nyu.edu/~carpenter Course Description This course describes important fixed income securities and markets and develops tools for valuing these securities and managing interest rate risk. The course covers traditional bonds and term structure concepts, as well as fixed income derivatives and financial engineering. Tentative Schedule of Lectures Sep 7 Coupon bonds and zeroes Sep 12 Zero rates vs. Rate of return Sep 14 Yield to maturity Sep 19 Duration Sep 21 Immunization Sep 26 Convexity Sep 28 Forward contracts Oct 3 Forward rates Oct 5 Repos Oct 12 Floating rate notes Oct 17 Swaps Oct 19 Swap spreads, Forward rate agreements Oct 24 No-arbitrage pricing Oct 26 Midterm Oct 31 Risk-neutral probabilities Nov 2 Dynamic trading strategies Nov 7 Financial engineering Nov 9 Hedging, Options Nov 14 Caps Nov 16 Floors and collars Nov 21 American options Nov 23 Callable bonds Nov 28 Swaptions Nov 30 Mortgage market Dec 5 Passthroughs Dec 7 CMOs Dec 12 Treasury bond futures Dec 14 Eurodollar futures Dec 19 2-3:50: Final Exam for Section 1, MW 2:00 Dec 21 4-5:50: Final Exam for Section 2, MW 3:30
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Course Materials Required Lecture notes and problem sets Recommended P. Veronesi,
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