This course gives you an easy introduction to interest rates and related contracts. These include the LIBOR, bonds, forward rate agreements, swaps, interest rate futures, caps, floors, and swaptions. We will learn how to apply the basic tools duration and convexity for managing the interest rate risk of a bond portfolio. We will gain practice in estimating the term structure from market data. We will learn the basic facts from stochastic calculus that will enable you to engineer a large variety of stochastic interest rate models. In this context, we will also review the arbitrage pricing theorem that provides the foundation for pricing financial derivatives. We will also cover the industry standard Black and Bachelier formulas for pricing caps, floors, and swaptions.
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Interest Rate Models
École Polytechnique Fédérale de LausanneAbout this Course
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Shareable Certificate
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100% online
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Advanced Level
Approx. 29 hours to complete
English
Could your company benefit from training employees on in-demand skills?
Try Coursera for BusinessSkills you will gain
- Calibration
- Stochastic Calculus
- Yield Curve
- Interest Rate Derivative
Flexible deadlines
Reset deadlines in accordance to your schedule.
Shareable Certificate
Earn a Certificate upon completion
100% online
Start instantly and learn at your own schedule.
Advanced Level
Approx. 29 hours to complete
English
Could your company benefit from training employees on in-demand skills?
Try Coursera for BusinessOffered by
Syllabus - What you will learn from this course
1 hour to complete
Introduction
1 hour to complete
1 video (Total 5 min), 5 readings
8 hours to complete
Interest Rates and Related Contracts
8 hours to complete
5 videos (Total 55 min), 2 readings, 6 quizzes
5 hours to complete
Estimating the Term Structure
5 hours to complete
4 videos (Total 56 min)
6 hours to complete
Stochastic Models
6 hours to complete
4 videos (Total 76 min), 1 reading, 5 quizzes
Reviews
- 5 stars75.41%
- 4 stars12.29%
- 3 stars4.46%
- 2 stars2.23%
- 1 star5.58%
TOP REVIEWS FROM INTEREST RATE MODELS
by JZFeb 14, 2022
Great course. Be ready to do some integrals and coding.
by PTSep 30, 2019
Very interesting course. Would be great if there is a second part of this course about modern pricing with OIS swap, collateral ...
by MBJan 30, 2017
Great course! Level of difficulty is about first or second year Ph.D. in economics/finance. I learned a lot.
-Michael
by CCSep 18, 2019
I wish there is a course on credit risk in a similar fashion.
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