Fixed-income securities include bonds that promise a fixed income stream and by extension all securities whose valuation and hedging are related to interest rates. Quantitative tools are especially important for understanding fixed-income securities: their cash flows are contractually specified which makes it relatively easy to quantify the payoffs, yet the subtleties of interest rate movements and credit risk ensure that quantitative analysis is useful. This course is focused on the concepts and tools that are useful to managers who want to use these securities, whether for investing, hedging, market-making, or speculating.
At the frontier: This area has had a lot of important developments in recent years. Students should leave Washington University familiar with traditional tools as well as recent innovations.
Prerequisites Introductory Finance (5200 or both 5201 and 5202) is the only formal prerequisite, but it is a good idea to study options and futures first. As in most quantitative courses, students with the strongest math backgrounds will breeze through most easily. This course places more quantitative demands on students than is typical of our other finance courses, but less than computational finance.
Organization of the course The course will be in a traditional lecture format, with a final exam in the exam period.
Course Requirements Grades in the course will be based mainly on the final examination, which will measure understanding of the tools and concepts from the lectures. Class participation may change a grade near a cutoff. Understandably, job search or other obligations may occasionally conflict with class. It is your responsibility to find out from your classmates what you miss when you are absent.
Course materials Course materials include two optional texts and slides that are available on the web. There is no separate packet.
Transparencies The lectures will be based on transparencies that are available on the Web. You will probably want to print a paper copy of the transparency before each class for cross-reference during class, for study, and for taking notes on. The slides are available from the course page http://dybfin.wustl.edu/teaching/fi. The materials are still under revision; be sure to use reload on your browser to get the most current version. I also invite you to visit my home page and research page: http://dybfin.wustl.edu/.
Textbooks There are two textbooks for the class, both optional. The two books have significant overlap but somewhat different focus. Fixed-Income Securities: Tools for Today's Markets, by Bruce Tuckman, is especially good for the concepts and tools, while Fixed-Income Securities, by Frank Fabozzi, is especially good for the institutions.
Teaching Assistance Yufeng Han and Paskalis Glabadanidis will assist in offering the course. They are both doctoral students working in the area of investments and asset pricing. They were a very popular team helping out in my computational finance, and you will discover that we are fortunate to have their assistance. Their office is Simon 284, their phone number is 935-4884, and their e-mail addresses are hany@olin.wustl.edu and glabadanidisp@olin.wustl.edu. Yufeng will attend the day section and Paskalis the night section, but both are available to help you. (Of course, you can also direct your questions to me; I recommend e-mail at dybvig@dybfin.wustl.edu or though my home page as an effective way of tracking me down quickly.)
About you In addition to enrolling through the proper authorities, please send me an e-mail with the following information:
About me I was previously a tenured full professor at Yale, and I came to Wash U in 1988 in the hope of building a top finance group, which we have done. More information on me is in the chatty blurb at http://dybfin.wustl.edu/misc/about.html or in my vitae at http://dybfin.wustl.edu/misc/vitae.html. All of my Web pages can be accessed through my home page.
Feedback Feedback is especially important to me. Written feedback by e-mail is especially useful.
Integrity Students are expected to conform to the Olin School's Code of Conduct.
Summary I invite you to join me in exploring the exciting field of investments!