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DIM Syllabus (S25) - Copy

The syllabus for BUSF-SHU 305 at NYU Shanghai outlines a course on debt instruments and markets, focusing on analytical methods for pricing and managing bonds. The course includes various topics such as coupon bonds, interest rate swaps, and mortgage-backed securities, with assessments based on attendance, problem sets, a midterm, and a final exam. Office hours are provided for additional support, and academic integrity is emphasized throughout the course.

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Xingtong Li
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8 views

DIM Syllabus (S25) - Copy

The syllabus for BUSF-SHU 305 at NYU Shanghai outlines a course on debt instruments and markets, focusing on analytical methods for pricing and managing bonds. The course includes various topics such as coupon bonds, interest rate swaps, and mortgage-backed securities, with assessments based on attendance, problem sets, a midterm, and a final exam. Office hours are provided for additional support, and academic integrity is emphasized throughout the course.

Uploaded by

Xingtong Li
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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New York University Shanghai

Syllabus for BUSF-SHU 305, Spring 2025


Debt Instruments and Markets

Instructor: Johnson Mo, [email protected]


Class hours: 11:15 am – 12:30 pm @S311 on Tuesday & Thursday
Office Hours: 3:30 – 5:00 pm @S806 on Tuesday & Thursday

Course Description
This course describes important debt instruments and markets in the U.S. and China and
develops analytical methods for pricing and hedging bonds and fixed income derivatives, and
for managing and evaluating bond portfolio performance. Upon completion of this course,
students should be well prepared for job interviews of fixed income positions.

Course Contents
0. Coupon Bonds and Zeroes
1. Yield to Maturity
2. Duration & Convexity
3. Rate of Return vs. Yield
4. Forward Contracts and Forward Rates
5. The Repo Market
6. Floating Rate Notes
7. Interest Rate Swaps
8. Introduction to Fixed Income Portfolio Management
9. Level and Slope Factors in Bond Returns
10. Factor-based Bond Portfolio Performance
11. Bonds with Embedded Options
12. Option Pricing by Replication
13. Pricing Multi-Period Options with Dynamic Trading Strategies
14. Fixed Income Option Models
15. American Option-embedded Bonds
16. Swaptions
17. Mortgage-Backed Securities
18. Caps, Floors and Collars

Course Materials
No textbook needed;
Required: Lecture notes and problem sets;
*There is NO teaching assistant. The instructor grades all problem sets and exams.

Grades Distribution
/// Class Attendance – 3%
Problem Sets – 26% [highest four: 5% each; lowest two: 2% each]
Midterm – 30%
Final – 41% ///

Exams
All exams will be timed. You will be taking them in class.
Bi–weekly Group Problem Sets
Because the material is highly technical and new concepts build on old ones, it will be essential
for you to do the problem sets in order to follow the lectures and succeed on the exams. To
facilitate learning, I encourage you to work in groups of 2-3 students on these problem sets.
Each group submits one assignment in the end. I will distribute problem sets on Brightspace
under the Assignment tab, with due dates indicated. I will accept late submissions only under
extenuating circumstances.

Office Hours
I will hold weekly office hours during the indicated times. However, you may email me
questions at any time. We can schedule individual appointments if needed.

Grading Information for NYU Shanghai Elective Courses


At NYU Shanghai, we strive to create courses that challenge students intellectually and that
meet the standards of academic excellence. To ensure fairness and clarity of grading, the faculty
have agreed that for elective courses the individual instructor or department is responsible for
determining reasonable grading guidelines.

Class Participation
Your participation will be based on a mix of attendance and verbal contributions.

Academic Integrity
Our undergraduate Academics Pillar states that we take pride in our well-rounded
education and approach our academics with honesty and integrity. Indeed, integrity is critical
to all of us here at NYU Shanghai. As members of our community, all students agree to abide
by the NYU Shanghai Student Code of Conduct, which includes a commitment to:
• Exercise integrity in all aspects of one's academic work including, but not limited to, the
preparation and completion of exams, papers and all other course requirements by not
engaging in any method or means that provides an unfair advantage.
• Clearly acknowledge the work and efforts of others when submitting written work as one’s
own. Ideas, data, direct quotations (which should be designated with quotation marks),
paraphrasing, creative expression, or any other incorporation of the work of others should
be fully referenced.
• Refrain from behaving in ways that knowingly support, assist, or in any way attempt to
enable another person to engage in any violation of the Code of Conduct. Our support also
includes reporting any observed violations of this Code of Conduct or other School and
University policies that are deemed to adversely affect the NYUSH community.

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