Edwin J. Elton
B40.3332.10
Fall'99

LECTURE NOTES : DEBT INSTRUMENTS AND MARKETS

Part 1

1. Fixed Income Securities

2. Yield to Maturity, Accrued Interest, Quoted Price, Invoice Price

3. Multiplicity of Rates

4. Protecting against Term Structure Shifts

5. Tax Treatment and Accounting Treatment

6. Floating Rate

7. Interest Rate Swaps

Part 2

8. Forwards and Futures

9. Option Valuation

10. Corporate Bonds

11. Mortgage Backed Securities

12. Multi-Index Models in the Bond Area

13. International Diversification

14. Bond Portfolio Management