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).
This course is part of the Financial Engineering and Risk Management Specialization
Offered By
Financial Engineering and Risk Management SpecializationColumbia UniversityAbout this Course
Students should have intermediate to advanced undergraduate courses in: (i) probability and statistics, (ii) linear algebra, and (iii) calculus.
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- model calibration
- modeling and pricing Credit Default Swaps
Students should have intermediate to advanced undergraduate courses in: (i) probability and statistics, (ii) linear algebra, and (iii) calculus.
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Syllabus - What you will learn from this course
Course Overview
Term Structure Models I
Term Structure Models II (and Introduction to Credit Derivatives)
Introduction to Credit Derivatives
Reviews
- 5 stars69.56%
- 4 stars17.39%
- 3 stars4.34%
- 1 star8.69%
TOP REVIEWS FROM TERM-STRUCTURE AND CREDIT DERIVATIVES
Course was quite informative.
Questions in the assginments were useful to understand the concepts thoroughly.
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!
About the Financial Engineering and Risk Management Specialization
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