Course Schedule updated 09_29_2010

Course Schedule updated 09_29_2010 - Ch 16: Vasicek - The...

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4 Course Schedule (updated as of September 29, 2010) Class Date Topic 1 Sep 9 Ch 1: Overview of Fixed Income Securities Ch 2: The Grammar of Fixed Income Securities 2 Sep 14 Ch 3: Data for a Recurring Illustration Ch 4: Bond Valuation Using Synthetics 3 Sep 16 Ch 5: Interpreting Bond Yields Term Structure Theories 4 Sep 21 Ch 6: Bond Values and the Passage of Time Ch 7: Forward Contracts 5 Sep 23 * Ch 8: Dollar Delta: Risk Measurement 6 Sep 28 Ch 9: Dollar Delta: Risk Measurement Ch 10: Dollar Gamma 7 Sep 30 * Ch 11: Delta, Gamma, and Theta 8 Oct 5 Ch 13: Vasicek - Properties of the Short-Term Rate / Historical Data 9 Oct 7 * Ch 14/15: Vasicek - The Term Structure Review for Exam 1 Oct 12 Fall Break 10 Oct 14 Exam 1 11 Oct 19 Current Issues: Sovereign Debt and Credit Default Swaps 12 Oct 21 *
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Unformatted text preview: Ch 16: Vasicek - The Greeks 13 Oct 26 Alternative Term Structure Models Introduction to Black Derman Toy 14 Oct 28 * Ch 18/19: Introduction to Bond Options, European Bond Options 15 Nov 2 Ch 20: American Bond Options Functionality of Callable Debt 16 Nov 4 * Ch 22/23: Bonds with Embedded Options 17 Nov 9 Ch 24: Floating Rate Notes Eurodollar Markets and LIBOR 18 Nov 11 * Ch 25: Interest Rate Swaps 19 Nov 16 Ch 26: Options on Yields 20 Nov 18 * The Use of Cap, Floor and Swaption Introduction to the Black Model 21 Nov 23 Ch 27: Floating Rate Notes with Embedded Options Review for Exam 2 Nov 25 Thanksgiving 22 Nov 30 Exam 2 23 Dec 2 Mortgage-Backed Securities 24 Dec 7 Introduction to Corporate Bonds 25 Dec 9 Modeling Credit Risk and Corporate Debt Securities Final Project due date...
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