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).
AJ
Very well-explained concepts with perfect slides and assignments!
YW
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!
MK
Course was quite informative.Questions in the assginments were useful to understand the concepts thoroughly.
JL
Challenging, learners should understand linear algebra, Calculus, Probability...
SS
well-structured and comprehensive course, great for those looking to understand fundamental concepts and basic calculations. Ideal for beginners exploring these notions and their applications.
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Thank you for offering this course.
The course material very well organized, and the lectures were efficient, allowing for a fundamental understanding of the subject matter and laying good groundwork for further exploration.
Really time efficient for a good grasp over the complexity !
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.
well-structured and comprehensive course, great for those looking to understand fundamental concepts and basic calculations. Ideal for beginners exploring these notions and their applications.
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!
Challenging, learners should understand linear algebra, Calculus, Probability...
Very well-explained concepts with perfect slides and assignments!
very technical and well taught
thanks for everything
Course was quite informative.
Questions in the assginments were useful to understand the concepts thoroughly.
en el modulo 5 no se explica muy bien
Great Course, relatively tricky
The information and presentation are great, but some of the coding assignments are just absurd. How can I figure out what is wrong with my code if I get 0 feedback?
Wrong answers... awful