About this Course

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Learner Career Outcomes

50%

started a new career after completing these courses

40%

got a tangible career benefit from this course
Shareable Certificate
Earn a Certificate upon completion
100% online
Start instantly and learn at your own schedule.
Flexible deadlines
Reset deadlines in accordance to your schedule.
Advanced Level
Approx. 30 hours to complete
English

Skills you will gain

CalibrationStochastic CalculusYield CurveInterest Rate Derivative

Learner Career Outcomes

50%

started a new career after completing these courses

40%

got a tangible career benefit from this course
Shareable Certificate
Earn a Certificate upon completion
100% online
Start instantly and learn at your own schedule.
Flexible deadlines
Reset deadlines in accordance to your schedule.
Advanced Level
Approx. 30 hours to complete
English

Offered by

Placeholder

École Polytechnique Fédérale de Lausanne

Syllabus - What you will learn from this course

Week
1

Week 1

1 hour to complete

Introduction

1 hour to complete
1 video (Total 5 min), 5 readings
1 video
5 readings
Evaluation10m
Certificate10m
Course discussions10m
Where to get help10m
Do you like our course?10m
Week
2

Week 2

8 hours to complete

Interest Rates and Related Contracts

8 hours to complete
5 videos (Total 55 min), 2 readings, 6 quizzes
5 videos
Forward and Futures Rates14m
Coupon Bonds and Interest Rate Swaps12m
Duration and Convexity9m
Market Conventions5m
2 readings
Compounded Interest Rates10m
Continuously Compounded Forward Rate (Forward Yield)10m
6 practice exercises
Interest Rates and Discount Bonds1h 20m
Forward and Futures Rates1h 10m
Coupon Bonds and Interest Rate Swaps1h
Duration and Convexity50m
Market Conventions30m
Interest Rates and Related Contracts2h 10m
Week
3

Week 3

5 hours to complete

Estimating the Term Structure

5 hours to complete
4 videos (Total 56 min)
4 videos
Exact Methods19m
Smoothing Methods13m
Principal Component Analysis11m
5 practice exercises
Bootstrapping Example30m
Exact Methods30m
Smoothing Methods40m
Principal Component Analysis30m
Estimating the Term Structure2h
Week
4

Week 4

6 hours to complete

Stochastic Models

6 hours to complete
4 videos (Total 76 min), 1 reading, 5 quizzes
4 videos
Short Rate Models20m
Heath-Jarrow-Morton Framework10m
Forward Measures23m
1 reading
Definition of Brownian Motion without Filtration10m
5 practice exercises
Stochastic Calculus1h 30m
Short Rate Models1h 10m
Heath-Jarrow-Morton Framework40m
Forward Measures40m
Stochastic Models1h

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