Model Calibration

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Computational Methods in Pricing and Model Calibration (Coursera)

This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will introduce different types of options in the market, followed by an in-depth discussion into numerical techniques helpful in pricing them, e.g. Fourier Transform (FT) and Fast Fourier Transform (FFT) [...]

Term-Structure and Credit Derivatives (Coursera)

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 [...]

Interventions and Calibration (Coursera)

Aug 1st 2022
Interventions and Calibration (Coursera)
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This course covers approaches for modelling treatment of infectious disease, as well as for modelling vaccination. Building on the SIR model, you will learn how to incorporate additional compartments to represent the effects of interventions, such the effect of vaccination in reducing susceptibility. You will learn about ‘leaky’ vaccines [...]

Monetary Policy Analysis and Forecasting (edX)

Learn about the macroeconomic motivation of the quarterly projection model (QPM), its key properties, model calibration, data filtration, and how to implement the QPM in MATLAB software in order to learn and understand practical model building and model operation as it is usually done in central banks. This online [...]