This course studies fixed income securities and related derivatives. The course focuses on analytical techniques and application of models, rather than market details. A range of topics will be covered, which includes pricing of fixed-income securities, credit rating, term structure models, duration analysis and convexity. Practical techniques and derivatives would also be discusses such as yield curve trading strategies and immunization techniques, fixed income securities with embedded options, and derivatives with fixed income underlying securities.

1. Identify the fundamental bond pricing framework comprised of time value of money and risk 2. Define, calculate, and interpret spot, forward, yield 3. Apply term-structure of interest rate to price fixed income securities 4. Define, calculate, and interpret duration and convexity 5. Implement duration and convexity hedge 6. Identify and evaluate alternative hedging techniques 7. Apply risk-neutral binomial tree to price fixed income securities 8. Identify key factors and interpret the shape of the term structure 9. Identify and evaluate alternative interest rate models 10. Explain the terms of selective interest rate derivatives