including pricing, yield measuring, risks of bond, features of bonds with ... Bond
Markets, Analysis, and Strategies, Frank J, Fabozzi, Sixth edition, 雙葉書廊.
Bond Markets
Instructor: Dr. Ching-chang Wang Office: S408-8 Office hours: To be announced Phone: (06)2533131 ext. 5327 E-mail:
[email protected] Personal website: http://faculty.stut.edu.tw/~johnsig/ Course Description: This course provides a basic analysis of important concepts in the bond markets, including pricing, yield measuring, risks of bond, features of bonds with embedded options, and interest rate derivatives etc. It is highly suggested that students might have the basic concepts of financial markets or financial instruments. The goals of this course are to demonstrate the fundamental tools that are commonly used for pricing and hedging debt instruments. Tentative Schedule: W1-3
The Fundamental Features of Bonds
W4-5
Pricing of Bonds; Measuring Yield of Bonds
W6-8
Bond Price Volatility
W9-11
The Term Structure of Interest Rates
W12-14
The Features of Treasury Securities and Corporate Debt Instruments Markets
W15
Analysis of Bonds with Embedded Options
W16-17
Bond Portfolio Management Strategies
W18
Interest-Rate Futures and Options Contracts
References: Bond Markets, Analysis, and Strategies, Frank J, Fabozzi, Sixth edition, 雙葉書廊. 《債券市場》。薛立言、劉亞秋。東華書局。 Grading Criteria: Assignments and/or bonus points: 10% Midterm exam: 40% Final exam: 50%