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Learner Reviews & Feedback for Term-Structure and Credit Derivatives by Columbia University

23 ratings

About the Course

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 - 4 of 4 Reviews for Term-Structure and Credit Derivatives

By Lalit D

Sep 25, 2021

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.

By Yi W

Feb 26, 2022

Very nice course having both theoretical depth and also practical depth. So appreicated to be able to learn from knowlegable instructors with just a little money. Great job!

By hadi e

Dec 8, 2022

thanks for everything

By Meet K

Oct 7, 2022

Course was quite informative.

Questions in the assginments were useful to understand the concepts thoroughly.