BRANDEIS INTERNATIONAL BUSINESS SCHOOL
FIN 261A: Fixed Income Securities
SPRING 2016
Instructor: Daniel Bergstresser
Email: dberg@brandeis.edu
Class Hours: Tu 6:30-9:20pm
Office Hours: Monday 3:30-5:00pm, and by appointment
TA: Anton Mokhovikov
Course Description:
The course will focus on the fundamentals of both bond markets and fixed income derivative
markets. These fundamentals include pricing and interest rates, the risks of investing in bonds,
and the role of bonds in an investment portfolio.
The course will cover markets for U.S. Treasury securities, U.S. agency securities, corporate
bonds, municipal bonds, asset backed securities, loans, international sovereign debt, and markets
for derivatives based on fixed income instruments.
Learning goals and outcomes:
- Price fixed income securities
- Build a fixed income investment portfolio
- Use bond terminology fluently
- Develop a theoretical and mathematical approach to fixed income risk management
- Use derivatives in a global fixed income portfolio
- Evaluate investment opportunities in various sectors of the fixed income markets
Prerequisite:
FIN 201A, or other equivalent course. The course will rely heavily on the LATTE/Moodle
platform. The web site will include downloadable files with the class handouts, copies of
problem sets and suggested answers. You will need your UNet username and password to log on
to the system at http://latte.brandeis.edu. You should check this site, and your e-mail regularly
for the course announcements.
Textbook:
Frank J. Fabozzi, Bond Markets, Analysis, and Strategies, 8th edition. Pearson/Prentiss Hall
2009.
Examinations and grading:
There will be a mid-term examination (50 minutes) and a final examination. Grade will be based
on the following:
Mid-term exam:
15%
Final exam:
35%
Homework:
20%
Participation:
30%
Class participation will carry a relatively high weight in the grading for the course. Class
sessions will be interactive and preparation before class will be essential. Students will need to
come to class prepared to discuss in detail each week’s reading assignment.
To facilitate this discussion, students are absolutely required to bring their name-cards (with
large and legible lettering) to class each day. To further facilitate classroom interaction, after the
first week each student in the classroom will be assigned to a specific seat (more or less at
random) for the remainder of the semester. Finally, electronic devices (including, but not limited
to mobile phones and laptop computers) are not to be used during class sessions. Students will
be required to arrive on time and be ready to start class at 6:30, with absolutely no exceptions.
There will be a break every day from 7:50-8:00; students who arrive late are invited to enter the
classroom during this break.
The model for the class is the preparation – and often homework assignments – proceed
precisely in advance of the class sessions. This is by design. The teaching philosophy is that
class discussion is improved by pre-class preparation, including the preparation of homework
assignments.
There will be a 90-minute midterm and a final exam, as well as homework assignments. The
final exam will be cumulative, reflecting the content covered in the mid-term examination as
well as content from the final half of the course.
This course is intended to be extremely challenging for most students.
Planned schedule (subject to change):
Week
Topic
1:
Introduction, course overview
2:
Measuring yields
3
Bond price volatility
4:
Term structure of interest rates
5:
Treasury and Agency Securities
6:
Corporate debt instruments
7:
Asset-backed Securities
8:
Interest rate models and embedded options, 1
9:
Interest rate models and embedded options, 2
10:
Convertible bonds
11:
Non-US securities
12:
Bond portfolio management
13:
Municipal debt, review
FINAL EXAM
Reading
Other
Chapter 1,2
Chapter 3
Chapter 4
Chapter 5
Chapter 6
MIDTERM
Chapter 7, 20
Chapter 15
Chapter 16,17, 27
Chapter 16,17, 27
Chapter 19
Chapter 9
Chapter 22,23
Chapter 8
Disabilities:
If you are student with a documented disability on record at Brandeis University and wish to
have a reasonable accommodation made for you in this class, please see me immediately.
Academic honesty:
You are expected to be honest in all of your academic work. Please consult Brandeis University
Rights and Responsibilities for all policies and procedures related to academic integrity.
Students may be required to submit work to TurnItIn.com software to verify originality.
Allegations of academic dishonesty will be forwarded to the Director of Academic Integrity.
Sanctions for academic dishonesty can include failing grades and/or suspension from the
university. Citation and research assistance can be found in the LTS Library guides.
Course Film:
All course sessions will be filmed. The resulting film will be made available to students in the
course as a resource. The IBS may also make the resulting film, edited or unedited, more widely
available, without limitation. For example, the IBS may publicly disseminate film material from
class sessions, including student comments and participation. Students will be required to arrive
on time and be ready to start class at 6:30, with absolutely no exceptions.
Communication Through Twitter:
Students are strongly encouraged to ask questions via Twitter (#FIN261A). Please follow me
(@dbergstresser), and I will hashtag posts related to the course.