This is an introduction to the management of fixed income markets and interest rate derivative securities. Major topics covered include term structure theories, institutional settings of the fixed income markets, and analytical tools for managing interest rate risk. It not only emphasizes traditional management methods such as duration and immunization, but also cutting edge approaches such as continuous-time, dynamic management techniques of interest rate risk.
Prerequisite: MFIN 5200
Co-requisite: FINE 6800