Model Calibration

video-placeholder
Loading...
View Syllabus

Skills You'll Learn

Pricing, Financial Modeling, Financial Risk, Financial Engineering

Reviews

4.6 (2,298 ratings)
  • 5 stars
    75.67%
  • 4 stars
    15.97%
  • 3 stars
    3.69%
  • 2 stars
    1.47%
  • 1 star
    3.17%
JP
Oct 20, 2019

Perfect course to grasp the fundamental theories in financial engineering and risk management! I deeply appreciate the videos and lecture notes! Hopefully, I can start the next course soon :)

AZ
Jul 17, 2020

A very well designed course! I knew some topics prior to the course and it helped me to strengthen my knowledge on derivative market systematically, particularly on interest rate derivatives

From the lesson
Term Structure Models II and Introduction to Credit Derivatives
Calibration of term-structure models; the Black-Derman-Toy and Ho-Lee models. Limitations of term-structure models and derivatives pricing models in general. Introduction to credit-default swaps (CDS) and the pricing of CDS and defaultable bonds.

Taught By

  • Placeholder

    Martin Haugh

    Co-Director, Center for Financial Engineering
  • Placeholder

    Garud Iyengar

    Professor

Explore our Catalog

Join for free and get personalized recommendations, updates and offers.