Fixed-Income Securities Mini, FIN 525

Philip H. Dybvig
Washington University in Saint Louis

Welcome to Fixed-income securities! Markets in fixed-income securities are large and important to investors, hedgers, issuers, traders, and speculators. Quantitative tools are of great help in understanding these securities, and this course introduces the tools and concepts you should have before entering this market. This is my first time teaching this class, and I am excited about all the interesting material we have to cover.

Practice problems (courtesy of Yufeng and Paskalis)

Practice problems related to Lecture 2
...practice problems
...answers

A big applied practice problem
...practice problem and answer

A long practice problem on yields and duration
...practice problem
...answer

A bunch of small practice problems
...practice problems
...answers

Site of the week!

This week we have a look at several US government sites. The Securities and Exchange Commission (SEC) is the main regulator of equity markets in the US, while the Commodity Futures Trading Commission regulates many derivative securities. The Pension Benefit Guarantee Corporation is the main regulator for pensions (look here for information on the TWA pension being terminated by Carl Icahn's Pichin Corporation). The major federal bank regulators include Federal Reserve Bank (Fed), Office of the Comptroller of the Currency (OCC) in the U.S. Treasury, and the Federal Deposit Insurance Corporation (FDIC). (Thanks to Kendall Miller for suggesting the CFTC site!)

previous sites of the week

Course Syllabus
Philip H. Dybvig Home Page

The slides contain the information I expect you to be in command of at the end of the the class. I am producing three version of the slides:

web page (.html)

Fastest download, saves paper, lowest quality ascii equations

pdf (landscape)

Adobe acrobat format, same format as projected in class

pdf (portrait)

Adobe acrobat format, portait version (not the landscape version used in class): smaller font, more room for notes, may print much faster on non-PostScript printers than the landscape pdf version

Lecture 1: Overview
...web page (.html) version size 14K
...pdf (landscape) version size 51K
...pdf (portrait) version size 51K

Lecture 2: Basic Terminology and Concepts
...web page (.html) version size 10K
...pdf (landscape) version size 92K
...pdf (portrait) version size 91K

Lecture 3: Yield Curves
...web page (.html) version size 16K + 170K images
...pdf (landscape) version size 115K
...pdf (portrait) version size 113K

Lecture 4: Interest Rate Risk Exposure: Traditional Approaches
...web page (.html) version size 15K + 160K images
...pdf (landscape) version size 166K
...pdf (portrait) version size 165K

Lecture 5: Tools from Option Pricing
...web page (.html) version size 20K
...pdf (landscape) version size 112K
...pdf (portrait) version size 112K

Lecture 6: Xtreme Review
...web page (.html) version size 9K
...pdf (landscape) version size 83K
...pdf (portrait) version size 83K