Term-Structure and Credit Derivatives

This course will concentrate on capturing the evolution of interest rates and providing in-depth knowledge of credit derivatives. The first module covers term structure lattice models and cash accounts, followed by an examination of fixed income derivatives such as options, futures, caplets and floorlets, swaps, and swaptions. The second module will look at model calibration in the context of fixed income securities before expanding it to other asset classes and instruments. Learners will use Excel to calibrate a model and then use it to price a payer swaption in a Black-Derman-Toy (BDT) model. The third module introduces credit derivatives before concentrating on modeling and pricing Credit Default Swaps.

Learners would be introduced to the concept of securitization, specifically asset-backed securities, in the fourth module (ABS). The discussion then shifts to Mortgage Backed Securities (MBS) and the mortgage mathematics that goes with them. The final module looks at how to introduce and price Collateralized Mortgage Obligations (CMOs).

Duration: 6 weeks long, 14 hours worth of material
Format: Fully online, on-demand
Google rating: 4.5/5.0
Enroll here: coursera.org/learn/financial-engineering-termstructure