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AFF 611 Course Outline Winter 2022.docx - AFF 611 / FIN611...

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AFF 611 / FIN611Fixed Income AnalysisWINTER 2022Prerequisite &/or Exclusions: AFF 501 or FIN501COURSE REPEATS:Academic Council GPA policy prevents students fromtakinga course more than three times.(i.e., registered initially, repeated once, repeated twice = 3 registrations) If you fail a requiredcourse for the third time, you will be assigned an academic standing of Withdrawn, and will beineligible to continue in your program. For complete GPA policy see Policy #46 at.INSTRUCTOR INFORMATION:Instructor:Mike InglisClass:Tuesday’s from 9:00 am to 12 amOffice Hours:After classE-mail:[email protected]METHOD OF POSTING GRADES:Students who wish not to have their course grades posted must inform the instructor inwriting before February 12th.All final grades will be available on the web atmy.ryerson.ca(RAMSS) at the end of each term, approximately 10 days after the date of thefinal examination.E-MAIL USAGE & LIMITS:Your e-mail must include in the subject line of your e-mail message the following somethinglike:AFF 611, Winter 2022, (subject)For instance, the subject line of your e-mail may read:AFF, Winter 2022, missed Midterm Exam.I will not be responding to student’s e-mails in the evenings or on the weekends.If you have notreceived a response within 2 business days please send me a follow-up e-mail, or drop by and seeme at the office.
CALENDAR COURSE DESCRIPTION:This specialized course in fixed income securities will start by reviewing fixed income markets,discount factors, pricing, yield, duration, convexity, and the term structure of interest rates. Thesecond part of the course looks at the use of binomial trees and the Monte-Carlo methodology inthe pricing and hedging of a variety of fixed income securities and their derivatives.COURSE OVERVIEW:I have decided to turn this course into a specialized course in fixed income securities.We willreview the standard material in the first few classes (i.e. markets, discount factors, interest rates,pricing, yield, duration, convexity, interest rate risk management) – I assume that you havealready been exposed to these concepts, but I will endeavour to add something new to thepicture. We will then move onto derivative securities such as forward, swaps, futures and optionsand their use in risk management. We finish the basics of fixed income by looking at theexploding phenomena of mortgage back securities. These concepts are important since they formthe basis for analysing the many different fixed income securities that are now available.Thesecond half of the course takes a more technical view and looks at the use of binomial trees inthe pricing and hedging of fixed income securities.This material will look familiar to those ofyou who have taken FIN601, however we will start at the beginning and build up the entireframework from scratch.I will demonstrate the calibration of the model and its use in pricingmany interesting securities such as caps and floors, swaptions, callable bonds.

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Term
Spring
Professor
NoProfessor
Tags
Derivative, Academia, Academic dishonesty, forward rate agreement

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