Browse Hierarchy MTH787U: Advanced Derivatives Pricing and Risk Management

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This module covers a number of advanced topics in the pricing and risk-management of various types of derivative securities that are of key importance in today's financial markets. In particular, the module covers models for interest rate derivatives (short-rate and forward-curve models), and looks at the multi-curve framework. It then considers credit risk management and credit derivatives (both vanilla and exotic). Finally, it also discusses credit valuation adjustment (CVA) and related concepts.

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