Fixed Income I

Instructors: Yuri Balasanov - Jeffrey R. Greco - Lida Doloc

TA: Slava Balasanov

Course Announcements

Classes will be held on Thursdays at 5:15pm except for 3rd week, when the class will be held Tuesday, November 22nd also at 5:15pm.
Review Sessions will take place Tuesdays in E 206 from 7 to 8pm.
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FINAL EXAM

Final Exam will take place on Tuesda, December 4th at 5:15pm in Kent 107

Lecture Notes

Any changes to the lecture notes from last year wil be updated as we move through the course.

You may look ahead if you like, but some things may change

Week 1

Introduction (Yuri Balasanov)
Fixed Income Markets I (Yuri Balasanov)
Libor Fixed Income Instruments I (Jeff Greco)
Market Monitoring I (Yuri Balasanov) (will not be part of the class this year, but contains useful information)

Week 2

Libor Fixed Income Instruments II, Yield Curve Building (Jeff Greco)
Swaps and Swaptions with Desquant (Yuri Balasanov)
Market Monitoring II (Yuri Balasanov) (will not be part of the class this year, but contains some useful information)

Week 3

Week 4

Statistical Term Curve Model (Yuri Balasanov)

Homework

Fixed Income I Homework Assignment v2 - Due Thursday, November 29th

Strike Rate and Volatilities for problem 4

Solutions

Homework Assignment #2 (see p14 of Statistical Term Curve Model Notes) - Due 2nd class of Fixed Income II

Data for the above homework

Desquant User Instructions

Exam Solutions

Lida
Yuri
Jeff : solution: 1.a and 2.b method: integration (half credit was given for q1 if you did not carry out the full integration in 1 and got c as the answer based on the slopes of the functions)

Resources

Reading List

Martin Baxter and Andrew Rennie - Financial Calculus

John C. Hull - Options Futures, and Other Derivatives

Ricardo Rebonato - Interest Rate Option Models

Other Recommended Readings: please see the "Reading List."

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