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Learner Reviews & Feedback for Term-Structure and Credit Derivatives by Columbia University

4.5
stars
54 ratings

About the Course

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)....

Top reviews

YW

Feb 25, 2022

Very nice course having both theoretical depth and also practical depth. So appreicated to be able to learn from knowlegable instructors with just a little money. Great job!

JL

Dec 30, 2023

Challenging, learners should understand linear algebra, Calculus, Probability...

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1 - 10 of 10 Reviews for Term-Structure and Credit Derivatives

By Julien C

•

Apr 28, 2023

Thank you for offering this course.

The course material very well organized, and the lectures were efficient, allowing for a fundamental understanding of the subject matter and laying good groundwork for further exploration.

Really time efficient for a good grasp over the complexity !

By Lalit D

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Sep 25, 2021

Really Insightful course. The exercises seem easy at first but are not easy. Highly recommended for anyone interested in learning about the Term Structure. Most of the exercises evolve around Term Structure. So the exercises will help you get a handle on them.

By Yi W

•

Feb 26, 2022

Very nice course having both theoretical depth and also practical depth. So appreicated to be able to learn from knowlegable instructors with just a little money. Great job!

By Jerry L

•

Dec 31, 2023

Challenging, learners should understand linear algebra, Calculus, Probability...

By Asif J

•

Jul 18, 2023

Very well-explained concepts with perfect slides and assignments!

By Samridha V

•

Jan 30, 2024

very technical and well taught

By hadi e

•

Dec 8, 2022

thanks for everything

By Meet K

•

Oct 7, 2022

Course was quite informative.

Questions in the assginments were useful to understand the concepts thoroughly.

By Kunvuthi M

•

Oct 21, 2024

Great Course, relatively tricky

By Joaquin P

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Sep 16, 2024

Wrong answers... awful