Course Number
Primary Program
Financial Mathematics
Course Format

This course focuses on structured securities and the structuring of aggregates of financial instruments into engineered solutions of problems in capital finance. Topics include the fundamentals of creating asset-backed and structured securities—including mortgage-backed securities (MBS), stripped securities, collateralized mortgage obligations (CMOs), and other asset-backed collateralized debt obligations (CDOs)— structuring and allocating cash-flows as well as enhancing credit; equity hybrids and convertible instruments; asset swaps, credit derivatives, and total return swaps; assessment of structure-risk interest rate-risk and credit-risk as well as strategies for hedging these exposures; managing portfolios of structured securities; and relative value analysis (including OAS and scenario analysis). Course Note(s): This course is the same as EN.553.648 offered through the full-time Applied Mathematics & Statistics department for the residence Master of Science in Engineering in Financial Mathematics.

Course Offerings

There are no sections currently offered, however you can view a sample syllabus from a prior section of this course.