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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课程信息
Students should have intermediate to advanced undergraduate courses in: (i) probability and statistics, (ii) linear algebra, and (iii) calculus.
您将获得的技能
Students should have intermediate to advanced undergraduate courses in: (i) probability and statistics, (ii) linear algebra, and (iii) calculus.
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哥伦比亚大学
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教学大纲 - 您将从这门课程中学到什么
Course Overview
Term Structure Models I
Welcome to week 2! This week, we will re-visit the fixed income instruments. So far we have been very comfortable with the notion of a fixed interest rate. In reality, however, interest rate is always evolving over time. Previously, we have seen that the evolution of stock prices can be modeled via multi-period binomial models or the Black Scholes model, but how do we capture the evolution of interest rate? Let us unfold the modeling of interest rate in this week. We will also see that all security derivatives have their equivalents in fixed income domains, such as options, forwards, futures and swaps. If you get stuck on the quizzes, you should post on the Discussions to ask for help. (And if you finish early, I hope you'll go there to help your fellow classmates as well.)
Term Structure Models II (and Introduction to Credit Derivatives)
Welcome to week 3! This week, we will start with an important practice in real-life financial engineering - model calibration. The mathematical models are no good if they do not capture the regularities in the financial markets. In order to ensure that our models are useful, we need to search for model parameters that describe the current market conditions. You might find it very helpful to review the optimization methods in the pre-requisite materials of Introduction of Financial Engineering and Risk Management.
Introduction to Credit Derivatives
Welcome to week 4! This week we will introduce credit derivatives, a very powerful family of derivative products that are partially responsible for the Financial Crisis in 2008. As always, if you get stuck on the quizzes, you should post on the Discussions to ask for help. (And if you finish early, I hope you'll go there to help your fellow classmates as well.)
关于 Financial Engineering and Risk Management 专项课程
This specialization is intended for aspiring learners and professionals seeking to hone their skills in the quantitative finance area. Through a series of 5 courses, we will cover derivative pricing, asset allocation, portfolio optimization as well as other applications of financial engineering such as real options, commodity and energy derivatives and algorithmic trading. Those financial engineering topics will prepare you well for resolving related problems, both in the academic and industrial worlds.
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