Columbia University - Term-Structure and Credit Derivatives
- Offered byCoursera
Term-Structure and Credit Derivatives at Coursera Overview
Duration | 14 hours |
Start from | Start Now |
Total fee | Free |
Mode of learning | Online |
Difficulty level | Intermediate |
Official Website | Explore Free Course  |
Credential | Certificate |
Term-Structure and Credit Derivatives at Coursera Highlights
- Flexible deadlines Reset deadlines in accordance to your schedule. Shareable Certificate Earn a Certificate upon completion 100% online Start instantly and learn at your own schedule. Course 2 of 5 in the Financial Engineering and Risk Management Specialization
Term-Structure and Credit Derivatives at Coursera Course details
- 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)
Term-Structure and Credit Derivatives at Coursera Curriculum
Course Overview
Course Overview
Course Overview
About Us
Term Structure Models I
Introduction to Term Structure Lattice Models
Binomial Models for Short Rate
The Cash Account and Pricing Zero-Coupon Bonds
An Example
Fixed Income Derivatives: Options on Bonds
Fixed Income Derivatives: Bond Forwards
Fixed Income Derivatives: Bond Futures
Fixed Income Derivatives: Caplets and Floorlets
Fixed Income Derivatives: Swaps
Fixed Income Derivatives: Swaptions
The Forward Equations: Introduction and Derivation
Pricing using the Forward Equations
Lesson Supplements
2.1 Self-check Quiz
2.2 Self-check Quiz
2.3 Self-check Quiz
Term Structure Models I
Term Structure Models II (and Introduction to Credit Derivatives)
Model Calibration: Introduction and Principles
Model Calibration Using Excel
An Application: Pricing a Payer Swaption in a BDT Model
Fixed Income Derivatives Pricing in Practice
Modeling Defaultable Bonds: Introduction
Modeling Defaultable Bonds: Examples
Pricing Defaultable Bonds: Introduction
Pricing Defaultable Bonds: Calibrating using Excel
Lesson Supplements
Lesson Supplements
3.1 Self-check Quiz
3.2 Self-check Quiz
3.3 Self-check Quiz
Introduction to Credit Derivatives
Credit Default Swaps: Introduction
Credit Default Swaps: Examples
Pricing Credit Default Swaps: Introduction
Pricing Credit Default Swaps: Examples with Excel
Interview with Emmanuel Derman
4.1 Self-check Quiz
4.2 Self-check Quiz
Term Structure Models II and Introduction to Credit Derivatives
Introduction to Mortgage Mathematics and Mortgage-Backed Securities
Introduction to Mortgage Mathematics and Mortgage-Backed Securities - Part I
Introduction to Mortgage Mathematics and Mortgage-Backed Securities - Part II
Prepayment Risk and Mortgage Pass-Throughs - Part I
Prepayment Risk and Mortgage Pass-Throughs - Part II
Mortgage Pass-Throughs in Excel
Principal-Only and Interest-Only MBS
Risks of Principal-Only and Interest-Only MBS
Collateralized Mortgage Obligations (CMOs)
Pricing Mortgage-Backed Securities - Part I
Pricing Mortgage-Backed Securities - Part II
Lesson Supplements
5.1 Self-check Quiz
5.2 Self-check Quiz
5.3 Self-check Quiz
5.4 Self-check Quiz
Introduction to Mortgage Mathematics and Mortgage-Backed Securities
Assignment - CMO
Reading: Introduction to Assignment
Assignment
Term-Structure and Credit Derivatives at Coursera Admission Process
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