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Mathematics of Fixed Income (FNCE671)

Course description

This is a course on the mathematics of interest rates and bond management. Students will go through the basic theories of interest rates, including the computation of the future and present values of annuities. There will be an introduction to bond investments and the risks involved, including pricing formulas, measurement of returns, interest-rate risk, reinvestment risk and other risks. Estimation and theory of term structure will be discussed. Techniques for using bonds to immunize interes...


Seminar Required

Graded, 0.5 Credit Units

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