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學生對 哥伦比亚大学 提供的 Term-Structure and Credit Derivatives 的評價和反饋

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20 個評分

課程概述

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 - Term-Structure and Credit Derivatives 的 4 個評論(共 4 個)

創建者 Lalit D

2021年9月25日

創建者 Yi W

2022年2月26日

創建者 hadi e

2022年12月8日

創建者 Meet K

2022年10月7日