Introduction

Introduction to Fixed Income Markets

  1. Overview and the Time Value of Money

  2. Price and Yield

    Schaefer, S.M. (1977), "The Problem with Redemption Yield", Financial Analysts' Journal (July-August 1977): 59ff.

Logarithms as well as continuous compounding and discounting are an integral part of Fixed-Income Analysis. If you feel uncomfortable after reviewing their definition and basic properties at the following link FIN 684 might not be for you:  natural logarithm

Option Review

  1. Foundations of Options Analysis

  2. Options Models 

Yield Curve Calculus

The Term Structure of Interest Rates

  1. Duration and Convexity

    "The US Government Debt Market and the Term Structure of Interest Rates", HBS 1994 (9-285-186)

    Kritzman, M. (1993), "What Practitioners Need to Know about the Term Structure of Interest Rates", Financial Analysts' Journal 49 (July-August 1993): 14-18

  2. Pricing Bonds and Interest-Rate Volatility

    Kritzman, M. (1992), "What Practitioners Need to Know about Duration and Convexity", Financial Analysts' Journal 48 (November-December 1992): 17-20

Derivatives are an integral part of Fixed-Income Analysis. If you feel uncomfortable after reviewing their definition and basic properties at the following link FIN 684 might not be for you: derivatives

Forwards and Yields

  1. Forward Rates

  2. Case 1: Walt Disney Company's Sleeping Beauty Bonds, HBS 1994 (9-294-034)

    Dybvig, P. and W. Marshall (1996), "Pricing Long Bonds: Pitfalls and Opportunities", Financial Analysts' Journal 52 (January-February 1996): 32-39

Integrals and integration are an integral part of Fixed-Income Analysis. If you feel uncomfortable after reviewing their definition and basic properties at the following link FIN 684 might not be for you: integrals

Bond Markets

US Government Bonds

  1. US Treasuries

Hauswald (2010): Technical Note on US Treasury Securities.

  1. Case 2: Union Carbide Corporation - Interest Rate Risk Management, HBS 1994 (9-294-057)

Funding Trading Positions

  1. Money Markets, Repos, and Monetary Policy

Hauswald (2010): Technical Note on Repos, Short Selling, and Secuirities Lending

Fleming and Garbade (2004), "Repurchase Agreements with Negative Interest Rates," Current Issues in Economics and Finance 10 (5), NY Fed.

  1. Case 3: Arbitrage in the Government Bond Market, HBS 1993 (9-293-093)

Corporate Bonds

  1. Corporate Bonds

  2. Swaps

Hauswald (2010): Technical Note on Swaps and Floating Rate Notes

Risk-Neutral Pricing

  1. Risk-Neutral Pricing: From Stock Options to Yield-Curve Models Bonds

  2. Case 4: The State of Connecticut Municipal Swap, HBS 1991 (9-291-024)

Binomial Yield-Curve Models

Term Structure Modelling

  1. Binomial Term Structure Models

    Black, F., E. Derman and W. Toy, "A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options", Financial Analysts' Journal 50 (January-February 1990): 33-39

    Apabhai, M., K Choe, F. Khennach and P. Wilmott, "Spot-on Modelling", Risk 8 (November 1995): 59-63

    Kraus, A. and M. Smith (1993), "A Simple Multifactor Term Structure Model", Journal of Fixed Income 3 (June 1993): 19-23

  2. Case 5: The Walt Disney Company's Yen Financing, HBS 1987 (9-287-058)

Bonds with Conversion Options

  1. Callable Bonds

    Black, F., E. Derman and W. Toy, "A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options", Financial Analysts' Journal 50 (January-February 1990): 33-39

    Apabhai, M., K Choe, F. Khennach and P. Wilmott, "Spot-on Modelling", Risk 8 (November 1995): 59-63

    Kraus, A. and M. Smith (1993), "A Simple Multifactor Term Structure Model", Journal of Fixed Income 3 (June 1993): 19-23

  2. Convertible Bonds

    Readings: Brennan, M. and E., Schwartz (1988): "The case for convertibles," Journal of Applied Corporate Finance, Vol 1, 55-64 
    Julio, Kim, and Weisbach (2008), "What Determines the Structure of Corporate Debt Issues?" mimeo, Ohio State

Interest-Rate Derivatives

  1. Midterm Review

  2. Interest-Rate Derivatives

    Hauswald (2011): Technical Note on Caps and Floors

Securitization and Credit Derivatives

Securitization and Credit Derivatives

  1. Pass-through Securities

    RBS Greenwich Capital, A Guide to US MBS, May 2007
    Lehman Bros. (2007), Who Owns Residential MBS Credit Risk

  2. Credit Derivatives

    Moodys (2008), Credit Default Swaps.

Synthetic Fixed-Income Instruments 

Structured Products

  1. Securitization and Structured Credit Products


  2. Case 6: American Express TRS Charge-Card Receivables, HBS 1993 (9-293-120)