Fixed Income Investments

  • 7-weeks
  • 1.5 credits
  • Prerequisite: F520

This course begins with description and valuation of fixed income securities, including treasury, corporate, and municipal bonds and mortgage backed securities. Discussion of fixed income portfolio strategies will include interest rate risk management and the use of derivatives such as swaps, futures, and options.

  • Review of bond math
  • Term structure theories and evidence
  • Simple bond portfolio strategies: duration and convexity
  • Treasury securities: market details and pricing
  • Agency, municipal, and corporate bonds: survey of markets
  • Mortgage and other asset backed securities: markets and pricing issues
  • Derivatives and their uses

Course Materials: Fabozzi and Fabozzi, Bonds Markets: Analysis and Strategies. Packet of selected reading from practitioner journals. 

Course grade will be based on some average of exam(s), written assignments, and problem sets.

Kelley School of Business

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