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Term-Structure and Credit Derivatives
  • Level Professional
  • Duration 14 hours
  • Course by Columbia University
  • Offered by

About

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).

Modules

Course Overview

    • 1 Videos
    • 3 Readings
Show info about module content

1 Videos

  • Course Overview

3 Readings

  • Course Overview
  • About Us
  • Academic Honesty Policy

Introduction to Term Structure Lattice Models and the Cash Account

    • 4 Videos
    • 1 Readings
    • 1 Assignment
Show info about module content

1 Assignment

  • 2.1 Self-check Quiz

4 Videos

  • Introduction to Term Structure Lattice Models
  • Binomial Models for Short Rate
  • The Cash Account and Pricing Zero-Coupon Bonds
  • An Example

1 Readings

  • Lesson Supplements

Fixed Income Derivatives I

    • 3 Videos
Show info about module content

3 Videos

  • Fixed Income Derivatives: Options on Bonds
  • Fixed Income Derivatives: Bond Forwards
  • Fixed Income Derivatives: Bond Futures

Fixed Income Derivatives II

    • 3 Videos
    • 1 Assignment
Show info about module content

1 Assignment

  • 2.2 Self-check Quiz

3 Videos

  • Fixed Income Derivatives: Caplets and Floorlets
  • Fixed Income Derivatives: Swaps
  • Fixed Income Derivatives: Swaptions

The Forward Equations

    • 2 Videos
    • 1 Assignment
Show info about module content

1 Assignment

  • 2.3 Self-check Quiz

2 Videos

  • The Forward Equations: Introduction and Derivation
  • Pricing using the Forward Equations

Review

    • 1 Assignment
Show info about module content

1 Assignment

  • Term Structure Models I

Model Calibration

    • 2 Videos
    • 1 Readings
    • 1 Assignment
Show info about module content

1 Assignment

  • 3.1 Self-check Quiz

2 Videos

  • Model Calibration: Introduction and Principles
  • Model Calibration Using Excel

1 Readings

  • Lesson Supplements

Pricing in a BDT Model and Pricing in Practice

    • 2 Videos
    • 1 Assignment
Show info about module content

1 Assignment

  • 3.2 Self-check Quiz

2 Videos

  • An Application: Pricing a Payer Swaption in a BDT Model
  • Fixed Income Derivatives Pricing in Practice

Modeling and Pricing Defaultable Bonds

    • 4 Videos
    • 1 Readings
    • 1 Assignment
Show info about module content

1 Assignment

  • 3.3 Self-check Quiz

4 Videos

  • Modeling Defaultable Bonds: Introduction
  • Modeling Defaultable Bonds: Examples
  • Pricing Defaultable Bonds: Introduction
  • Pricing Defaultable Bonds: Calibrating using Excel

1 Readings

  • Lesson Supplements

Credit Default Swaps

    • 2 Videos
    • 1 Assignment
Show info about module content

1 Assignment

  • 4.1 Self-check Quiz

2 Videos

  • Credit Default Swaps: Introduction
  • Credit Default Swaps: Examples

Pricing Credit Default Swaps

    • 2 Videos
    • 1 Assignment
Show info about module content

1 Assignment

  • 4.2 Self-check Quiz

2 Videos

  • Pricing Credit Default Swaps: Introduction
  • Pricing Credit Default Swaps: Examples with Excel

Interview with Emanuel Derman

    • 1 Videos
Show info about module content

1 Videos

  • Interview with Emanuel Derman

Review

    • 1 Assignment
Show info about module content

1 Assignment

  • Term Structure Models II and Introduction to Credit Derivatives

Introduction to Mortgage Mathematics and Mortgage-Backed Securities

    • 2 Videos
    • 1 Readings
    • 1 Assignment
Show info about module content

1 Assignment

  • 5.1 Self-check Quiz

2 Videos

  • Introduction to Mortgage Mathematics and Mortgage-Backed Securities - Part I
  • Introduction to Mortgage Mathematics and Mortgage-Backed Securities - Part II

1 Readings

  • Lesson Supplements

Prepayment Risks and Pass-Throughs

    • 3 Videos
    • 1 Assignment
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1 Assignment

  • 5.2 Self-check Quiz

3 Videos

  • 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 Mortgage-Backed Securities

    • 2 Videos
    • 1 Assignment
Show info about module content

1 Assignment

  • 5.3 Self-check Quiz

2 Videos

  • Principal-Only and Interest-Only MBS
  • Risks of Principal-Only and Interest-Only MBS

CMOs and Pricing Mortgage-Backed Securities

    • 3 Videos
    • 1 Assignment
Show info about module content

1 Assignment

  • 5.4 Self-check Quiz

3 Videos

  • Collateralized Mortgage Obligations (CMOs)
  • Pricing Mortgage-Backed Securities - Part I
  • Pricing Mortgage-Backed Securities - Part II

Review

    • 1 Assignment
Show info about module content

1 Assignment

  • Introduction to Mortgage Mathematics and Mortgage-Backed Securities

Assignment

    • 1 Readings
    • 1 Assignment
Show info about module content

1 Assignment

  • Assignment

1 Readings

  • Reading: Introduction to Assignment

Auto Summary

Discover the evolution of interest rates and dive deep into credit derivatives with this professional course in Business & Management. Led by Coursera, it covers term structure models, fixed income derivatives, model calibration, credit default swaps, asset-backed securities, and more over 840 minutes. Ideal for professionals seeking advanced knowledge in financial instruments, with flexible subscription options available.

Garud Iyengar
Instructors

Garud Iyengar

Ali Hirsa
Instructors

Ali Hirsa

Martin Haugh
Instructors

Martin Haugh