About this Course
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Start instantly and learn at your own schedule.

Flexible deadlines

Reset deadlines in accordance to your schedule.

Advanced Level

Approx. 45 hours to complete

Suggested: 5 weeks of study, 6 hours per week...

English

Subtitles: English

Skills you will gain

CalibrationStochastic CalculusYield CurveInterest Rate Derivative

100% online

Start instantly and learn at your own schedule.

Flexible deadlines

Reset deadlines in accordance to your schedule.

Advanced Level

Approx. 45 hours to complete

Suggested: 5 weeks of study, 6 hours per week...

English

Subtitles: English

Learners taking this Course are

  • Risk Managers
  • Traders
  • Financial Analysts
  • Economists
  • Chief Financial Officers (CFOs)

Syllabus - What you will learn from this course

Week
1
1 hour to complete

Introduction

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
8 hours to complete

Interest Rates and Related Contracts

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
5 hours to complete

Estimating the Term Structure

4 videos (Total 56 min), 5 quizzes
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
6 hours to complete

Stochastic Models

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
4.6
28 ReviewsChevron Right

50%

started a new career after completing these courses

40%

got a tangible career benefit from this course

Top reviews from Interest Rate Models

By PVMay 27th 2019

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

By MBJan 31st 2017

Great course! Level of difficulty is about first or second year Ph.D. in economics/finance. I learned a lot.\n\n-Michael

Instructor

Avatar

Damir Filipović

EPFL
The Swissquote Chair in Quantitative Finance and Swiss Finance Institute Professor

About École Polytechnique Fédérale de Lausanne

Frequently Asked Questions

  • Once you enroll for a Certificate, you’ll have access to all videos, quizzes, and programming assignments (if applicable). Peer review assignments can only be submitted and reviewed once your session has begun. If you choose to explore the course without purchasing, you may not be able to access certain assignments.

  • When you purchase a Certificate you get access to all course materials, including graded assignments. Upon completing the course, your electronic Certificate will be added to your Accomplishments page - from there, you can print your Certificate or add it to your LinkedIn profile. If you only want to read and view the course content, you can audit the course for free.

More questions? Visit the Learner Help Center.