FINM 37400

Fixed Income

Winter Quarter
Instructor: Mark Hendricks

This course covers the mathematical modeling, statistical analysis, and market features relevant for pricing and managing fixed income products. Key topics include the following:

  • The yield curve
  • Interest-rate risk via duration, convexity, and factor approaches
  • Fixed-income products such as swaps, caps, and floors
  • Trading strategies for rates, including inflation and the Expectations Hypothesis

This course does not cover specialized models for analyzing fixed-income derivatives nor the issue of credit-risk. But it covers many fundamentals needed for those courses.

The course uses weekly homework assignments consisting of applied problems that use real data and consider actual cases of fixed income risk, pricing, and trading. The course also has a final exam.