Code:

BERM.ASC.015

Study year:

2008 - 2009

Long name:

Fixed Income Securities

ECTS:

3

Language:

English

Lecturer(s):

Miles Livingston, Ingolf Dittmann

Faculty:

Erasmus School of Economics

Number of lectures:

Hours per lecture:

Goal:

This course has several goals. The first goal is to familiarize students with the institutions and instruments in bond markets in the United States and Europe. The second goal is to develop an understanding of the theoretical determinants of the pricing of various bonds. The third goal is develop a familiarity with the academic literature about fixed income securities and important unanswered research questions. The course will include some basic textbook knowledge, reading of academic articles, presentation and discussion of these articles during class, and a research project.

Course contents:

The operation of government bond markets in the United States and in the European countries. The characteristics and uses of inflation-indexed bonds and STRIPS. The term structure of interest rates: theories, mathematics, and measurement. The underwriting process for fixed income securities. Measuring the riskiness of fixed income securities. Arbitrage for fixed income securities. Default risk and ratings. The pricing of junk bonds. The major bond futures contracts in the United States and Europe. Their major characteristics, uses, and influence upon the underlying bonds.

Examination:

To be announced

Literature:

A collection of leading theoretical and empirical papers in economics and finance.

Additional information: