An Application: Pricing a Payer Swaption in a BDT Model

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Habilidades que você aprenderá

Pricing, Financial Modeling, Financial Risk, Financial Engineering

Avaliações

4.6 (1,818 classificações)
  • 5 stars
    77%
  • 4 stars
    15%
  • 3 stars
    3%
  • 2 stars
    1%
  • 1 star
    3%
NT

Jan 20, 2017

This course is amazing. The structure is very clear and coherent. It is very mathematically focused and the models are interesting. I would always recommend this course to my colleagues.

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.

Na lição
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.

Ministrado por

  • Martin Haugh

    Martin Haugh

    Co-Director, Center for Financial Engineering
  • Garud Iyengar

    Garud Iyengar

    Professor

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