Lecture1 - ECO 466/FIN 521: Fixed Income Models and...

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Unformatted text preview: ECO 466/FIN 521: Fixed Income Models and Applications Lecture 1 Jakub W. Jurek Fall 2009 Roadmap 1. Introductions, course outline, and administration 2. Fixed income markets and their securities 3. U.S. Treasuries Jakub Jurek: Introduction I Raised in Poland/US, Harvard undergraduate (applied mathematics) I Harvard, PhD 2008 I Specialize in financial economics (asset pricing) I Worked at AQR Capital Management, LLC and Goldman, Sachs, and Co. I Former consultant to the Harvard Management Company (asset allocation) and Grantham, Mayo, van Otterloo & Co. (fixed income). Jakub Jurek: Contact information I Office hours: Monday 10:00-11:30am and 2:30-3:30pm, 211 Bendheim Center for Finance I Tel: (609) 258-4037 I E-mail: jjurek@princeton.edu Course resources I Preceptor: Ming Yang ( mingyang@princeton.edu ). Precept/OH: TBD. I Course website: blackboard I Textbook: Pietro Veronesi, Fixed Income Securities . I Optional textooks: I Damiano Brigo and Fabio Mercurio, Interest Rate Models: Theory and Practice , 2nd edition, Springer Finance I Andrew J.G. Cairns, Interest Rate Models: An Introduction , 1st edition, Princeton University Press I Jessica James and Nick Webber, Interest Rate Modelling , John Wiley and Sons, 2007. I Additional references provided in the syllabus Course requirements I Come to class, engage with the material, and interrupt me. I Six problem sets some analytical, some numerical. I Midterm exam will be in-class and will take place on Wednesday, October 28. I Final exam during exam period on a date TBA by the Registrar. I FIN 521 students will be required to complete a final project; due on Tuesday, January 12 . I FIN 521 and ECO 466 will be graded on separate curves. FIN 521 ECO 466 Problem sets 20% 20% Midterm exam 20% 30% Final exam 40% 50% Final project 20%- Course pre-requisites I The course is mathematical in nature and the following are required : I Knowledge of calculus, including partial differentiation and integration. I Knowledge of probability and statistics I An introductory asset pricing class (ECO 362 or FIN 501) I A derivatives pricing class (ECO 465) I If you are missing one of the pre-requisites and are interested in taking the course, please come and speak with me. If you are missing two (or more) of the pre-requisites, its probably not a very good idea to take this class. I I will allow one of these to be taken concurrently (but this will require extra effort on your part to keep up). Why study fixed income markets? I Essentially all forms of economic activity require the existence of borrowing and lending (credit) facilities, placing the fixed income (debt) markets at the heart of the financial system. I The size of fixed income markets and the variety of securities traded in them have experienced explosive growth in recent years. Some of the innovation has proven to be toxic, precipitating the ongoing credit crisis. What can you expect to learn?...
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Lecture1 - ECO 466/FIN 521: Fixed Income Models and...

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