債券市場
Bond Market
| 節 | 週日 |
|---|---|
5 13:20–14:10 | 債券市場 M101 3 節連堂 |
6 14:20–15:10 | |
7 15:30–16:20 |
* 根據陽明交大上課時間表所列
This course is designed to provide the fundamental tools that are commonly used for analysis in the bond markets. Issues covered in this course include Bond Pricing and Return Measuring, Bond Price Volatility, Term Structure of Interest Rate, Treasury and Agency Securities Markets, Corporate Debt Instruments and Municipal Securities, Mortgage Pass-Through Securities and Collateralized Mortgage Obligations, Stripped Mortgage-Backed and Asset-Backed Securities, Commercial Mortgage Loans and Mortgage-Backed Securities, and Analysis of Bonds with Embedded Options.
Economics
I will first introduce the relationship between market interest rates and bond prices, and then introduce many different kinds of bonds. Students are required to hand in homework and participate in a midterm and a final term exam.
- 1. Evaluating bonds 2.Measuring yields 3. Duration and Convexity 4.Term structure
- 1. Treasury and Agency Securities 2. Corporate Debt 3. Municipal Securities 4. Mortgage loans
| 週次 | 主題 |
|---|---|
| 第 1 週 | Introduction |
| 第 2 週 | Pricing of Bonds |
| 第 3 週 | Measuring Yield |
| 第 4 週 | Measuring Yield |
| 第 5 週 | Bond Price Volatility |
| 第 6 週 | Factors Affecting Bond Yields and the Term Structure |
| 第 7 週 | Treasury and Agency Securities |
| 第 8 週 | Treasury and Agency Securities |
| 第 9 週 | Mid Term |
| 第 10 週 | Corporate Debt Instruments |
| 第 11 週 | Municipal Securities |
| 第 12 週 | Non U.S. Bonds |
| 第 13 週 | Residential Mortgage Loans |
| 第 14 週 | Agency Mortgage Pass-Through Securities |
| 第 15 週 | Agency Collateralized Mortgage Obligations |
| 第 16 週 | Commercial Mortgage Loans |
| 第 17 週 | Interest Rate Models |
| 第 18 週 | Final Term Exam |
Bond Markets, Analysis, and Strategies, by Frank Fabozzi, 7th Edition, 2010, Prentice-Hall International, Inc. (雙葉書廊)
- 地點
- 管一410
- 時間
- Wed. afternoon
- 聯絡方式
- 57054 cameldai@mail.nctu.edu.tw