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[Video Course] Financial Engineering & Risk Management Part I & 2 by Martin Haugh

[Video Course] Financial Engineering & Risk Management Part I & 2 by Martin Haugh

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Course Overview
-An introduction to the course.
Introduction to Basic Fixed Income Securities
-Review of interest and basic fixed income securities; introduction to arbitrage pricing.
Introduction to Derivative Securities
-The mechanics of forwards, futures, swaps and options. Option pricing in the 1-period binomial model.
Option Pricing in the Multi-Period Binomial Model
-Derivatives pricing in the binomial model including European and American options; handling dividends; pricing forwards and futures; convergence of the binomial model to Black-Scholes.
Term Structure Models I
-Binomial lattice models of the short-rate; pricing fixed income derivative securities including caps, floors swaps and swaptions; the forward equations and elementary securities.
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.
Introduction to Mortgage Mathematics and Mortgage-Backed Securities
-Basic mortgage mathematics; mechanics of mortgage-backed securities (MBS) including pass-throughs, principal-only and interest-only securities, and CMOs; pricing of MBS; MBS and the financial crisis.
Background Material


File size: 1.8GB

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