Carlson School of Management

FINA 6121 Debt Markets, Interest Rates, and Hedging

Bond valuation: yield conventions, spot/forward rates, term structure, binomial pricing, static/option-adjusted spread. Duration: PVBP, Macauley/modified/effective duration, convexity. Portfolio management, hedging: dedicated, immunization, horizon matching, contingent, indexing, portfolio insurance, hedging. Treasury market: role of Fed, auctions, primary dealers, market conventions, bills, notes, bonds, strips, repos. Fixed income markets: agency, corporate, private placement, securitization, municipal.

Fall 2014

Section 060 LEC (17642)

2 credits

A-F only; prereq MBA 6230, MBA student

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