David Backus
Debt Instruments and Markets (B40.3333.12, Fall 1998)
Basics
- I'm happy to share the material below (TEX and Matlab files, etc).
Let me know what you'd like and I'll pop it in the mail.
- Debt Instruments focuses on fixed income securities: bonds and their
relatives.
This section of the course has three themes: (i) debt markets are global,
(ii) debt markets are derivatives markets (and vice versa),
and (iii) debt markets are emerging.
Compared to other sections of the same course,
there will be substantially greater emphasis on international and emerging markets.
(PS: This is a great class, but it takes some effort.)
- Files are pdf format unless stated otherwise.
To view or print pdf files,
visit
Adobe's Web Site to get Adobe's Acrobat Reader.
Once installed, the Reader pops up in Netscape when you click on a pdf file,
allowing you to view and print the file.
For obscure reasons, the files print better than they look on the screen.
To print postscript files, click on the file,
choose Save As to copy to your hard drive, then print however you like
(I type this in DOS: copy file lpt1).
- Essential course material
(Syllabus and Assignments |
Manuscript (200pp, exams/answers) |
Spreadsheet for bond calculations)
- Overheads
(Intro |
Bond Arithmetic |
Macrofoundations |
Interest Rate Risk |
Swaps and Floaters |
Disasters |
Contingent Claims |
Futures |
Options |
Corporates |
Emerging Markets)
- Answers
(Assignment 1 |
Assignment 2 |
Assignment 3 |
Midterm |
Assignment 4 |
Assignment 5 |
Assignment 6 |
Final)
- Review sheets
(Midterm Review | Final Review)
Useful Links
Archive of Spring 1998 Class Material
Archive of Fall 1996 Class Material
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Please address comments and questions to David Backus at
dbackus@stern.nyu.edu