|Class||Th 05:30PM-08:00PM, FHLMC|
|Website (URL)||FIN 684 Website|
|Office Hours||Around class and by appointment|
|Course Assistant||Mike Chavira|
|Tutoring Hours||Monday, 04:30-06:30PM, cafeteria|
|Tutoring Hours||Friday, afternoon, cafeteria|
Required: Suresh Sundaresan, Fixed Income Markets and Their Derivatives, Academic Press 2009 (FIMD). Recommended: Pietro Veronesi, Fixed Income Securities: Valuation, Risk, and Risk Management, Wiley 2011 (great text but more advanced: FIS). Two other text that are really useful ae Darrell Duffie and Kenneth J. Singleton, Credit Risk, Princeton University Press 2003 (great coverage of credit risk models) and Bruce Tuckman, Fixed Income Securities, 2nd ed., Wiley 2002 (simple and comprehensive text on fixed income securities).
It is recommended that you order the Harvard case material directly from Harvard Business School Publishing at the FIN 684 URL. To facilitate the ordering of the cases and hold down their cost, I have set up a web account, which contains links to the required case studies, at preferential pricing with HBSP.
In addition you should be reading business dailies such The Wall Street Journal and Financial Times, which you have to subscribe to. Other publications such as Euromoney or International Financing Review are also very useful as information sources. The journal Risk specializing in summaries of technical or academic research is highly recommended as background reading for the technical aspects of the class. Other useful references are Financial Analysts' Journal, Journal of Fixed Income and Journal of Portfolio Management.