Вернуться к Term-Structure and Credit Derivatives
Отзывы учащихся о курсе Term-Structure and Credit Derivatives от партнера Колумбийский университет
О курсе
This course will focus on capturing the evolution of interest rates and providing deep insight into credit derivatives. In the first module we discuss the term structure lattice models and cash account, and then analyze fixed income derivatives, such as Options, Futures, Caplets and Floorlets, Swaps and Swaptions. In the second module, we will examine model calibration in the context of fixed income securities and extend it to other asset classes and instruments. Learners will operate model calibration using Excel and apply it to price a payer swaption in a Black-Derman-Toy (BDT) model. The third module introduces credit derivatives and subsequently focuses on modeling and pricing the Credit Default Swaps. In the fourth module, learners would be introduced to the concept of securitization, specifically asset backed securities(ABS). The discussion progresses to Mortgage Backed Securities(MBS) and the associated mortgage mathematics. The final module delves into introducing and pricing Collateralized Mortgage Obligations(CMOs).
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1–1 из 1 отзывов о курсе Term-Structure and Credit Derivatives
автор: Lalit D
•25 сент. 2021 г.
Really Insightful course. The exercises seem easy at first but are not easy. Highly recommended for anyone interested in learning about the Term Structure. Most of the exercises evolve around Term Structure. So the exercises will help you get a handle on them.
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