FINANCE 450 - Fixed Income Securities

Institution:

Duke University

Subject:

Finance

Description:

This course explores the most important issues in global debt markets. It describes fixed income securities and markets, develops tools for valuing these securities and managing their risk. The major topics include: 1. Fixed income instruments and basic yield concepts. 2. Risk management concepts such as duration, convexity, and value-at-risk. 3. Risk management tools such as interest rate futures, options, swaps, caps, and floors. 4. Models of interest rates such as one-factor and multi-factor models of interest rates. 5. Understanding credit risk in corporate bonds and prepayment risk in mortgages.

Credits:

3.00

Credit Hours:

Prerequisites:

Corequisites:

Exclusions:

Level:

Instructional Type:

Lecture

Notes:

Additional Information:

Historical Version(s):

Institution Website:

WWW.DUKE.EDU

Phone Number:

(919) 684-8111

Regional Accreditation:

Southern Association of Colleges and Schools

Calendar System:

Semester

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