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Interest Rate Derivatives Modeling with VBA

Gain an overview of the properties of interest rate derivatives, and examine several models that are used to price these instruments. The course begins with the foundations of interest rate modeling, covering several key rates such as yields, spot rates, forward rates, and discount rates. Several models of the term structure of interest rates are introduced, such as Vasicek, Cox-Ingersoll-Ross, Hull-White, and Black-Derman-Toy. Techniques for implementing these models are covered in detail, including closed-form solutions, binomial and trinomial models, and Monte Carlo simulation. The properties of interest rate derivatives such as forwards, futures swaps, and options are explored in depth, and term structure models are used to price these derivatives using the VBA programming language.

More details

You'll Walk Away with

  • An overview of the properties of interest rate derivatives
  • A working knowledge of the techniques for implementing interest rate models

Ideal for

  • Students with knowledge of Excel and a general knowledge of finance and accounting
  • Finance professionals who wish to improve their Excel abilities

1 section

  • Spring 2018
    • Section

      001
    • Semester

      Spring 2018
    • Date

      Mar 31 - Apr 14
    • Day

      Saturday
    • Time

      9:00AM-4:40PM
      • In-Person
    • Format

      In-Person
      • In-Person
    • Sessions

      3
    • Faculty

      Anderson, Alan
    • Location

      Midtown Center