15.401 | Fall 2008 | Graduate
Finance Theory I
Video Lectures and Slides

Fixed-Income Securities

Video Lectures

Fixed-Income Securities I

Part I of Fixed-Income Securities

Description: This video lecture introduces fixed-income securities along with examples of securities and market participants, and an industry overview. Trading frequency and the framework for valuation are presented by use of an example involving a coupon bond.

Fixed-Income Securities II

Part II of Fixed-Income Securities

Description: This video lecture introduces spot rates and forward rates in the context of yield curves and interest rate forecasts, and models for term structure interest rates. Examples are given through lecture and with data from U.S. Treasury Securities.

Fixed-Income Securities III

Part III of Fixed-Income Securities

Description: This video lecture continues to work through the valuation of a coupon bond, and using the law of one price in working with multiple coupon bonds. The video lecture also covers methods with which to measure the interest-rate risks of a bond.

Fixed-Income Securities IV

Part IV of Fixed-Income Securities

Description: This video lecture explores securitization’s impact on intermediation, sources of risk in corporate bonds. An example is given to demonstrate the effect of priority of payouts on expected values and the pricing of bonds, and the additional effect of correlation.

Slides

Fixed-Income Securities Slides 1–65 (PDF - 1.7MB)

  • Video for Part I of Fixed-Income Securities covers slides 1–12
  • Video for Part II of Fixed-Income Securities covers slides 13–32
  • Video for Part III of Fixed-Income Securities covers slides 28–43
  • Video for Part IV of Fixed-Income Securities covers slides 41–52

Please note that slides 53–65 are not covered in the video lectures but can be reviewed independently. These slides present an example involving simple securitization.

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Fall 2008
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grading Exams with Solutions
notes Lecture Notes
theaters Lecture Videos
assignment_turned_in Problem Sets with Solutions