Fixed Income 55728
HUJI, Fall-04
14:30-17:15, HAVAT HAMAHSHEVIM 2
Zvi Wiener tel: 02-588-3049
office 5107
Teaching Assistant
- Preliminary Syllabus, textbook, PRMIA, TASE, Israeli bonds, LIBORS, Public Debt USA, NIHUL HOV MOF, GEMEL-NET MOF
- 17-Oct-04 Introduction to the course, FF1 Introduction
- 24-Oct-04 FF2 Pricing, FF3 Measuring Yield
- 31-Oct-04 FF4 Bond Price Volatility, home assignments are available at the student administration (MAZKIRUT HATALMIDIM)
- 07-Nov-04 Floaters and Inverse Floaters, Car And Go 1, Car And Go 2
- 14-Nov-04 FF5 Term Structure of Interest Rates, FF6 Treasury and Agency, FED99, BIS00, CDO Clal
- 21-Nov-04 FF7 Corporate Debt, FF9 Non-US bonds, EMTN example, Moody's Rating Methods, ML Rating Guide, Nera Credit Ratings
- 28-Nov-04 FF15 CDO, Introduction to securitization, Cash and Synthetic, Arbitrage CDO by ML, Fitch, Barclays, GS CDO
- 05-Dec-04 FF16 Embedded Options, Binomial tree and callable debt
- 12-Dec-04 No lecture - Happy Hanukka!
- 19-Dec-04 midterm exam!
- 26-Dec-04 conference on Market Makers! BEIT MAYERSDORF 14:00
- 02-Jan-05 FF18 Convertibles, Total Return Swap, FF19 Active Bond Management, FF20 Indexing, FF21 ALM
- 09-Jan-05 Swaps, COSS termsheet
- 16-Jan-05 Credit Derivatives, overview of the course
- 16-Feb-05 16:00 exam!
- 18-Apr-05 9:00 MOED BET! r. 2110
- Grades and HW: projects, grades and HW, HW Ch 2, 3, 4, HW Ch. 5, HW Ch. 6, recommended HW, HW Ch. 15, recommemded HW, Ch 16, 18, 25, Ch 18
- Examples: Callable step-up, Inverse Floater, Amdocs CLN, EUR accumulator in USD
- Materials: Credit Derivatives paper, Birth of Market Capitalism, Bonds (in Hebrew)
- Additional Textbook Chapters: FF10 Residential Mortgages, FF11 Mortgagae Pass-Through, FF12 CMO, FF13 CMBS, FF14 ABS, FF23 IR Futures, FF24 IR Options
- Additioanl Lectures: Introduction to RM, RM framework, Pfandbrief
- Projects: Total Return Swap, Barings, Israeli Government Bonds, Foreign Investment, Portfolio Management, Municipal Bonds, Banking Credit, LTV, Main Bond Traders, Car And Go
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