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FIN4120: Fixed Income Securities: Home

Course Description

We will learn about the investment environment, the long-term structure of interest rates, hedging interest rate risk, and investment strategies.

Recommended Books

The Handbook of Fixed Income Securities

The Definitive Guide to Fixed Income Securities--Revised and Updated for the New Era of Investing For decades, The Handbook of Fixed Income Securities has been the most trusted resource in the world for fixed income investing. This completely revised and expanded eighth edition contains 31 new chapters that bring us up to date on the latest products, analytical tools, methodologies, and strategies for identifying and capitalizing on the potential of the fixed income securities market in order to enhance returns. 

Options, Futures and Other Derivatives

This book bridges the gap between theory and practice by providing a current look at the industry, a careful balance of mathematical sophistication, and an outstanding ancillary package that makes it accessible to a wide audience. Through its coverage of important topics such as the securitization and the credit crisis, the overnight indexed swap, the Black-Scholes-Merton formulas, and the way commodity prices are modelled and commodity derivatives valued, it helps us alike keep up with the fast pace of change in today's derivatives markets. 

Recommeded Databases

Learning Outcomes

  • Investment Environment: General characteristics of bonds, dierent types of money-market instruments(T-Bills, Certicates of Deposits, Commercial papers, etc.), time value of money, discounting, dierent types of rates(coupon rate, zero-coupon rate, yield to maturity, etc.)
  • Term Structure of Interest Rates: how to derive the zero-coupon yield curve.
  • Hedging Interest-Rate Risk: Delta hedge, convexity hedge.
  • Investment Strategies: Passive Fixed-Income Portfolio Management(index fund construction), Active Fixed-Income Portfolio Management(market timing, market ineciencies), Performance Measurement on Fixed-Income Portfolios(risk-adjusted returns)