This course introduces the most important securities traded in fixed income markets and the valuation models used to price them. Payoff characteristics and quotation conventions will be explained for treasury bills and bonds, STRIPS, defaultable bonds, mortgage-backed securities like Collateraized Mortgage Obligations and derivative securities like swaps, caps, floors, and swaptions. Basic concepts will be explained such as the relation between yields and forward rates, duration, convexity, and factor models of yield curve dynamics. Key concepts for interest rate derivative valuation will be introduced using discrete time versions of the Ho-Lee and Hull and White models. Text: Bruce Tuckman, "Fixed Income Securities," 2nd ed., ISBN# 0-471-06322-3 (paperback) 0-471-06317-7 (hardcover). Prerequisite: None.