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

• Market quotes and information (Bloomberg | CNNfn)
• Government bond calculations worldwide from JP Morgan (look for Bond Market Outlines)
• Risk management (JP Morgan's RiskMetrics | Capital Market Risk Advisors | BT's RAROC 2020)
• Risk management cases and commentary:
  Derivatives Strategy articles on Risk Management at UBS and Model Risk at NatWest
  Jin-Chuan Duan on Bankers Trust/P&G and Metallgesellschaft
  Richie Freedman (with Jennifer Burke) on Kidder Peabody (Jett) (click on cases)
  Philippe Jorion on Orange County
• Interesting Companies (Banc One | Coca-Cola | Countrywide Credit | Disney | Intel | News Corp | Pfizer | Southwest Airlines)
• BradyNet's guide to emerging market data and research
• The SEC's Edgar Database (SEC filings, like 10k's/annual reports)
• Roubini's internet guide to macroeconomics, finance, and emerging markets
• Futures and Options Exchanges (CME | CBOT | LIFFE | Simex)
• Financial Institutions (JP Morgan | Merrill Lynch | Morgan Stanley | Salomon Brothers | Smith Barney)
• The Journal of Finance guide to finance on the internet (academic orientation)
• The Courant Institute Seminar in Mathematical Finance (moderately technical, but good mix of academics and practitioners)

Archive of Spring 1998 Class Material

• Essential course material (Syllabus and Assignments | Manuscript (200 pages, 682k) | Spreadsheet for bond calculations)
• Overheads (Intro and Bond Arithmetic | Macrofoundations | Interest Rate Risk | Swaps and Floaters | Disasters | Corporates | Emerging Markets | Contingent Claims | Forwards and Futures | Options)
• Answers (Assignment 1 | Assignment 2 | Assignment 3 | Midterm | Assignment 6 | Assignment 4 | Assignment 5 | Final)
• Review sheets (Midterm Review | Final Review)

Archive of Fall 1996 Class Material

• Special office hours: Thur Dec 12 and Mon Dec 16, both 6-8pm.
• Reminder: the final exam is Tuesday December 17, 7:35pm, MEC 1-70.
• Syllabus and Assignments (Postscript)
  (To print Postscript files, use Save File or Save As to copy it to your hard drive, then print in the usual way.)
• Lecture Notes (Postscript; 160+ pages!)
• Lecture Notes (pdf file)
  (Visit Adobe's Web Site to get Adobe's Acrobat Reader for viewing/printing pdf files.)
• Excel Spreadsheet for Bond Calculations
• Answers to Assignment 1 (Postscript)
• Answers to Assignment 2 (Postscript)
• Answers to Assignment 3 (Postscript)
• Addendum to Chapter 3 on Bond Funds (Postscript)
• Midterm Review (Postscript)
• Answers to Midterm (Postscript)
• Answers to Assignment 4 (Postscript)
• Examples of derivatives use (Postscript)
• Answers to Assignment 5 (Postscript)
• Final Review (Postscript)
• Exams and Answers, Including the 1996 Final (Postscript)