Syllabus_Fall2010

Syllabus_Fall2010 - FNCE 235/725: Fixed Income Securities...

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1 FNCE 235/725: Fixed Income Securities Fall 2010 Syllabus Instructor Prof. Stephan Dieckmann Office: 2252 SH-DH Phone: 215-898-4260 Email: sdieckma@wharton.upenn.edu Office hours are Wednesday, 1.30 – 3.00 pm. Please make an appointment by email if you like to meet with me outside of office hours. Teaching Assistants and TA office hours, to be held in the TA cubicles in the Finance Department, will be posted on the course webCafe page. Course Description This course covers the valuation of a wide variety of fixed income securities and their derivatives including pure discount bonds, coupon bonds, forwards and options on fixed income securities, interest-rate swaps, floating-rate notes, interest rate options, and mortgages. The course focuses on the analytic tools used in bond portfolio management and interest rate risk management. These tools include yield curve construction, duration and convexity, and formal term structure models. The course ends with an introduction to corporate bonds and credit risk. Among topics not covered in the course are the relation between macroeconomic variables and interest rates, taxes, and multi-factor models. Lectures The course is in lecture format. We meet 25 times during this semester, of which 23 are lectures and discussions, and 2 in-class exams. Class participation is encouraged and can affect your grade at the margin. FNCE 235 001 Tue/Thu 10:30 - 12:00 pm FNCE 725 001 Tue/Thu 12:00 - 1:30 pm FNCE 725 002 Tue/Thu 1:30 - 3:00 pm
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2 Prerequisites Students must have taken introductory finance and statistics.
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Syllabus_Fall2010 - FNCE 235/725: Fixed Income Securities...

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