Course Schedule updated 11_05_2010

Course Schedule updated 11_05_2010 - Orange County /...

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4 Course Schedule (updated as of November 5, 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 * 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 Ch 14: Vasicek - The Term Structure 13 Oct 26 Ch 16: Vasicek - The Greeks
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Unformatted text preview: Orange County / Inverse Floater 14 Oct 28 * Alternative Term Structure Models Introduction to Black Derman Toy 15 Nov 2 Ch 18/19: Introduction to Bond Options, European Bond Options 16 Nov 4 * Current Issues: Quantitative Easing 17 Nov 9 Ch 20: American Bond Options - Functionality of Callable Debt 18 Nov 11 * Ch 22/23: Bonds with Embedded Options 19 Nov 16 Ch 24/25: Floating Rate Notes / LIBOR / Interest Rate Swaps 20 Nov 18 * Ch 26: Options on Yields 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 Credit Risk and Corporate Debt Securities I 24 Dec 7 Credit Risk and Corporate Debt Securities II 25 Dec 9 Mortgage-Backed Securities / Crisis Final Project Due...
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This note was uploaded on 03/27/2012 for the course FNCE 235 taught by Professor Roussanov during the Spring '09 term at UPenn.

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