NYU Stern School of Business

Undergraduate College


Fall 2010

Instructor Details

Jennifer Carpenter



Tuesday 4-5

KMC 9-99


Ji Xu


Monday 5-6

Tisch 200

My TA, Ji Xu, will hold office hours in Tisch 200 on Mondays at 5-6. I encourage students to make the most of this opportunity to get regular help and feedback, and to use this reserved room to meet for group work as well.


Course Meetings

TR, 2:00pm to 3:15pm

KMC 4-90

Final Exam: December 21st, 2-3:50 PM


Course Description and Learning Goals

 This course describes important fixed income securities and markets and develops tools for valuing fixed income securities and managing interest rate risk.  The course covers traditional bonds and term structure concepts, as well as fixed income derivatives and financial engineering.  


Course Pre-Requisites

Foundations of Financial Markets, C15.0002  



Course Outline


Tentative Schedule of Lectures
Sep 7 Course overview, Coupon bonds and zeroes
Sep 9 Zero rates, Rate of return
Sep 14 Yield to maturity
Sep 16 Duration
Sep 21 Immunization
Sep 23 Convexity
Sep 28 Forward contracts
Sep 30 Forward rates
Oct 5 Floating rate notes
Oct 7 Swaps
Oct 12 Swap spreads, Forward rate agreements
Oct 14 Repos
Oct 19 Midterm
Oct 21 No-arbitrage pricing
Oct 26 Risk-neutral probabilities
Oct 28 Dynamic trading strategies
Nov 2 Financial engineering
Nov 4 Hedging, Options
Nov 9 Caps
Nov 11 Floors and collars
Nov 16 Treasury bond futures
Nov 18 Eurodollar futures
Nov 23 American options
Nov 30 Callable bonds
Dec 2 Swaptions
Dec 7 Mortgage market
Dec 9 Passthroughs
Dec 14 CMOs
Dec 21 Final Exam 2-3:50 PM


Course Materials

Lecture notes and problem sets.

A. Veronesi, Fixed Income Securities: Valuation, Risk, and Risk Management, Wiley, 2010.
B. Tuckman, Fixed Income Securities, Wiley, 2002, 2nd ed.


Assessment Components

Class Participation (5%)

Problem Sets (5%)

Midterm (40%)

Final (50%)



Closed note, closed book. Please bring a calculator.

You must take each of your exams as scheduled. Otherwise, with the following two exceptions, your grade for the exam will be zero.
1) In case of a legitimate, foreseeable conflict, in order to take the exam at a different time, you must make a request in writing or by email at least one week prior to the exam, and obtain my written or email permission prior to the exam.
2) In case of an emergency, you must provide formal, written verification, such as a letter from a doctor.


Weekly Problem Sets

Because the material is technical and new concepts build on old ones, it will be essential to do the problem sets in order to follow the lectures and succeed on the exams. To facilitate learning, I encourage students to work together on these problem sets. Groups of students working together should submit just one assignment. All students in the same group will get the same grade. I cannot accept late assignments.



The study of fixed income securities is quantitative by nature and this course will be taught very rigorously. The course will require a consistent commitment of time, energy, and concentration, both in and outside class, throughout the semester.



At NYU Stern we seek to teach challenging courses that allow students to demonstrate their mastery of the subject matter.  In general, students in undergraduate core courses can expect a grading distribution where: 

Note that while the School uses these ranges  as a guide, the actual distribution for this course and your own grade will depend upon how well  you actually perform in this course.



The process of assigning grades is intended to be one of unbiased evaluation. Students are encouraged to respect the integrity and authority of the professor’s grading system and are discouraged from pursuing arbitrary challenges to it.

If you believe an inadvertent error has been made in the grading of an individual assignment or in assessing an overall course grade, a request to have the grade re-evaluated may be submitted. You must submit such requests in writing to me within 7 days of receiving the grade, including a brief written statement of why you believe that an error in grading has been made.


Academic Integrity

Integrity is critical to the learning process and to all that we do here at NYU Stern. As members of our community, all students agree to abide by the NYU Stern Student Code of Conduct, which includes a commitment to:

The entire Stern Student Code of Conduct applies to all students enrolled in Stern courses and can be found here:

Undergraduate College: http://www.stern.nyu.edu/uc/codeofconduct
Graduate Programs: http://w4.stern.nyu.edu/studentactivities/involved.cfm?doc_id=102505

To help ensure the integrity of our learning community, prose assignments you submit to Blackboard will be submitted to Turnitin.  Turnitin will compare your submission to a database of prior submissions to Turnitin, current and archived Web pages, periodicals, journals, and publications.  Additionally, your document will become part of the Turnitin database.


Stern Policies

General Behavior
The School expects that students will conduct themselves with respect and professionalism toward faculty, students, and others present in class and will follow the rules laid down by the instructor for classroom behavior.  Students who fail to do so may be asked to leave the classroom. 


Collaboration on Graded Assignments
Students may not work together on graded assignment unless the instructor gives express permission. 


Course Evaluations
Course evaluations are important to us and to students who come after you.  Please complete them thoughtfully.


Recording of Classes

Your class may be recorded for educational purposes


Students with Disabilities

If you have a qualified disability and will require academic accommodation of any kind during this course, you must notify me at the beginning of the course and provide a letter from the Moses Center for Students with Disabilities (CSD, 998-4980, www.nyu.edu/csd) verifying your registration and outlining the accommodations they recommend.  If you will need to take an exam at the CSD, you must submit a completed Exam Accommodations Form to them at least one week prior to the scheduled exam time to be guaranteed accommodation.


Printer Friendly Version