Lecture, three hours. Limited to Master of Financial Engineering program students. Quantitative approach to fixed-income securities and bond portfolio management, with focus on fixed-income security markets. Pricing of bonds and fixed-income derivatives, measurement and hedging of interest rate risk, dynamic models of interest rates, and management of fixed-income portfolio risk. S/U or letter grading.

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Course

Previously taught
22W 21W 20W 19S 18S

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