An Application: Pricing a Payer Swaption in a BDT Model

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Destrezas que aprenderás

Pricing, Financial Modeling, Financial Risk, Financial Engineering

Revisiones

4.6 (2,078 calificaciones)
  • 5 stars
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  • 4 stars
    15.97%
  • 3 stars
    3.51%
  • 2 stars
    1.34%
  • 1 star
    3.07%
AZ

Jul 18, 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

KA

Nov 26, 2017

The material is clear stated, the volume and the deepness of the course is substantial, the supplements are very helpful. The spreadsheets can even use as basis for practice modelling.

De la lección
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.

Impartido por:

  • Martin Haugh

    Martin Haugh

    Co-Director, Center for Financial Engineering
  • Garud Iyengar

    Garud Iyengar

    Professor

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