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所在平台: Coursera |
课程主页: https://www.coursera.org/learn/financial-engineering-termstructure
课程评论：没有评论
课程名称：利率期限结构与信用衍生品 概述：本课程将重点探讨利率的演变，并深入了解信用衍生品。第一模块讨论利率期限结构模型和现金账户，并分析固定收益衍生品，如期权、期货、上限和下限期权、互换及互换期权。第二模块考察固定收益证券的模型校准，并将其扩展到其他资产类别和工具。学习者将使用Excel进行模型校准，并应用于在Black-Derman-Toy (BDT)模型中定价支付者互换期权。第三模块介绍信用衍生品，并重点放在信用违约掉期的建模与定价上。第四模块引入证券化概念，特别是资产支持证券(ABS)。讨论内容还扩展到抵押贷款支持证券(MBS)及相关的抵押贷款数学。最后一个模块深入介绍和定价担保抵押债务(CMO)。 课程大纲： - 课程概述：提供课程的总体介绍。 - 利率期限结构模型 I：讨论固定收益工具的基本概念及利率的动态演变。 - 利率期限结构模型 II（及信用衍生品简介）：探讨模型校准在金融工程中的重要性，并开始介绍信用衍生品。 - 信用衍生品简介：分析信用衍生品的基本概念和它们在2008年金融危机中的作用。 - 抵押贷款数学与抵押贷款支持证券简介：专注于抵押贷款支持证券的构建及证券化的概念。 - 任务 - CMO：探讨担保抵押债务的定价，并进行实用的测验和作业。 本课程内容丰富，旨在帮助学习者理解复杂的金融产品及其定价模型，同时提供实践经验，促进互助学习。
Name:Course Overview
Description:
Name:Term Structure Models I
Description: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.)
Name:Term Structure Models II (and Introduction to Credit Derivatives)
Description: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.
Name:Introduction to Credit Derivatives
Description: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.)
Name:Introduction to Mortgage Mathematics and Mortgage-Backed Securities
Description:Welcome to week 5! This week, we will focus on a brand new set of financial products - mortgage-backed securities. Mortgage-backed securities are constructed from mortgages, which are common cash flows occurring in the housing market. Through a detailed case study of mortgage-backed securities, we will touch upon the important concept of securitization, i.e. how to package common cash flows into securitized products. We will explore a specific kind of financial product - Collateralized Mortgage Obligations (CMO). 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.)
Name:Assignment - CMO
Description:Welcome to week 6! This week, we will explore a specific kind of financial product - Collateralized Mortgage Obligations (CMO). We will also get some experience in pricing those securities. Finally, we will apply the knowledge we learned through the course by working on a quiz and a practical assignment. If you get stuck on the problems, you should post on the Discussions to ask for help. If you finish early, I hope you'll go there to help your fellow classmates as well.
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).
