An Application: Pricing a Payer Swaption in a BDT Model

Columbia University의 강좌에서
Financial Engineering and Risk Management Part I
1564개의 평가
Columbia University
1564개의 평가
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.

강사 만나기

  • Martin Haugh
    Martin Haugh
    Co-Director, Center for Financial Engineering
    Industrial Engineering & Operations Research
  • Garud Iyengar
    Garud Iyengar
    Industrial Engineering and Operations Research Department

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