Difference between revisions of "FE680 Advanced Derivatives"

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|LectureOutline =  
 
|LectureOutline =  
 
|Week1 = Week 1
 
|Week1 = Week 1
|Topic1 = Introduction to Financial Engineering
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|Topic1 =  
|Reading1 = Ch. 1 and 2
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|Reading1 =  
 
|Week2 = Week 2
 
|Week2 = Week 2
|Topic2 = Capital Markets Overview
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|Topic2 =  
|Reading2 = Ch. 3
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|Reading2 =  
 
|Week3 = Week 3
 
|Week3 = Week 3
|Topic3 = Corporate Finance & Valuation
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|Topic3 =  
|Reading3 = Ch. 3
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|Reading3 =  
 
|Week4 = Week 4
 
|Week4 = Week 4
|Topic4 = Equity Analysis
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|Topic4 =  
|Reading4 = Ch. 4
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|Reading4 =  
 
|Week5 = Week 5
 
|Week5 = Week 5
|Topic5 = Fixed Income Debt Securities
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|Topic5 =  
|Reading5 = Ch. 4
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|Reading5 =  
 
|Week6 = Week 6
 
|Week6 = Week 6
|Topic6 = Overview of Bonds Sectors & Instruments
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|Topic6 =  
|Reading6 = Ch. 4
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|Reading6 =  
 
|Week7 = Week 7
 
|Week7 = Week 7
|Topic7 = Valuation of Debt Securities
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|Topic7 =  
|Reading7 = Ch. 4
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|Reading7 =  
 
|Week8 = Week 8
 
|Week8 = Week 8
|Topic8 =Securitized Products
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|Topic8 =
 
|Reading8 =  
 
|Reading8 =  
 
|Week9 = Week 9
 
|Week9 = Week 9
|Topic9 = Leveraged Loans & CLO's
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|Topic9 =  
|Reading9 = Ch. 5
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|Reading9 =  
 
|Week10 = Week 10
 
|Week10 = Week 10
|Topic10 = General Principles of Credit Analysis
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|Topic10 =  
|Reading10 = Ch. 5
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|Reading10 =  
 
|Week11 = Week 11
 
|Week11 = Week 11
|Topic11 = Foreign Exchange
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|Topic11 =  
|Reading11 = Ch. 6
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|Reading11 =  
 
|Week12 = Week 12
 
|Week12 = Week 12
|Topic12 = Poisson Processes and Jump Diffusion
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|Topic12 =  
|Reading12 = Ch. 11
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|Reading12 =  
 
|Week13 = Week 13
 
|Week13 = Week 13
|Topic13 = Exotic Options
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|Topic13 =  
|Reading13 = Ch. 7
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|Reading13 =  
 
|Week14 = Week 14
 
|Week14 = Week 14
|Topic14 = Review & Catch-up
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|Reading14 =  
 
|Reading14 =  
  
 
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Revision as of 20:38, 5 April 2018



Course Catalog Description

Introduction

Campus Fall Spring Summer
On Campus X X
Web Campus X X

Instructors

Professor Email Office
Dragos Bozdog
dbozdog@stevens.edu Babbio 429A
Cristian Pasarica
Cristian.Pasarica@jpmorgan.com



More Information

Course Description

This course will address practical and theoretical issues for interest rate models, credit models, and hybrid instruments.

In the first part of the course we will discuss the methodology and principles behind Interest rate models: Hull White , HJM, Markovian HJM models. Mortgage derivatives and prepayment models will be discussed as an application of the interest rates models.

The second part of the course will be focused on credit models: building discount curves for credit models estimation of default probability and credit spread from equity prices. We will discuss Gaussian copula model, base correlation and CVA. Hybrid Securities will be introduced and modeling issues will be discussed.



Course Resources

Textbook

Antoon Pelsser, Efficient Methods for Valuing Interest Rate Derivatives, Springer

(ISBN 978-1-85233-304-1)

Dominic O'Kane, Modelling Single-name and Multi-name Credit Derivatives, Wiley

(ISBN: 978-0-470-51928-8)

Jan De Spiegeleer, Wim Schoutens, Cynthia Van Hulle, The Handbook of Hybrid Securities: Convertible Bonds, CoCo Bonds and Bail-In, Wiley (ISBN: 978-1-118-44999-8)

Additional References

John Hull. Options, Futures, and Other Derivatives. 2012. Eighth Edition. Prentice Hall. ISBN: 978-0132164948



Grading

Grading Policies

Assignments 40%

Midterm 30%

Final 30%


Lecture Outline

Topic Reading
Week 1
Week 2
Week 3
Week 4
Week 5
Week 6
Week 7
Week 8
Week 9
Week 10
Week 11
Week 12
Week 13
Week 14