Economics of Fixed Income Instruments
3.0
creditsAverage Course Rating
Students study economic principles and state-of-the-art mathematical models used to value fixed income securities and their derivatives. The course emphasizes advanced practical applications as well as theory. Students will develop their own computer code to price fixed-income instruments and evaluate their risks. Students must be familiar with both statistics and differential equations.
Spring 2015
Professor: Gregory Duffee
The best aspects of this class were the application of mathematical concepts and the opportunity to collaborate on assignments. The professor had a clear understanding of the material and was able to make class interesting and engaging. Some students found the course to be more advanced than a 300 level course. This course could be improved by incorporating a TA section, and increasing the number of credit hours assigned or listing it as a graduate level course. Prospective students should be proficient in MATLAB and have a strong background in calculus, differential equations, and stochastic.