This proposed course aims to introduce students to applied issues associated with fixed income securities such as bonds and debentures. By the end of the course, students are expected to have a basic understanding of how fixed income markets function, the way the securities are priced and issues associated with interest rates, such as yield curves. Topics covered include: an overview of fixed income securities in Australia; pricing bonds and measuring yields, auctions and selling mechanisms; price volatility; inflation and returns; term structure of interest rates; models of yield curves and yield curve derivatives; duration; convexity; immunization; default and liquidity risk; fixed income derivatives, and risk management.

Assessment in the course is based on a major project, mid-semester examination and final examination.

At least three contact hours per week.

FINM3001 Investments

Fabozzi, F., 2004, Bond markets, analysis and strategies, 5th edition, Pearson Prentice Hall, NJ.

Fabozzi, F., 2000, Handbook of fixed income securities, 6th edition, McGraw Hill, NY.

Sundarersan, S., Fixed income markets and their derivatives, 2nd edition, South Western-Thomson, Ohio.

Van Horne, J., 2001, Financial market rates and flows, 6th edition, Prentice Hall, NJ.

For further information please refer to http://ecocomm.anu.edu.au/courses/course.asp?code=FINM3006