Investigates the economics and finance of securitization, a practice that allows illiquid assets to be transformed into more liquid securities. Considers the basic mechanics of structuring deals for various asset-backed securities. Investigates the pricing of pooled assets, using Monte Carlo and other option pricing techniques, as well as various trading strategies used in these markets.

Prereq: 15.426J, 15.401, or permission of instructor

Spring 2014