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.
About this Course
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École Polytechnique Fédérale de Lausanne
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TOP REVIEWS FROM INTEREST RATE MODELS
Solid contents, also required solid graduate level mathematics. The instructor may consider providing more details in some of the derivations. It is a bit difficult to follow during some lectures.
This course is very good in regaining your knowledge in Interest Rate model. However, the exchange is that you have to spend time with it. But believe me it is worth your time spending
This course was very interesting and a bit hard for me, specially those topics involving measure theory. I'd like to thank to the course moderators and their helpfully advices.
Probably the most rigorous course on Coursera. Requires solid effort worthy of a graduate course. Kudos to the professors, TAs for putting together the assignments.
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