Back to Interest Rate Models

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185 ratings

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.
At the end of this course you will know how to calibrate an interest rate model to market data and how to price interest rate derivatives....

JZ

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Great course. Be ready to do some integrals and coding.

JY

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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.

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By Md N A

•Apr 9, 2017

Content wise this course is excellent, quant finance enthusiasts would love this course. Truth be told this is an insanely difficult MOOC to pass/complete, not because its hard, lets face it, the contents are very advanced and its assumed that students would have background in advanced finance, but the problem lies in the fact that the professor does not explain the topics well enough. The professor might be excellent in this field but simply can't explain well enough, he is mostly reading his notes/slides with a few drawings. Second problem is the notations used in the course is extremely confusing, it makes maths look scary. This could have been a the best MOOC on Coursera but the professor's explanation is simply not upto the mark.

By Nont N

•May 11, 2020

I've been a market risk manager for 10 years. All I can say is the this course deliver very poor explanation on concept and understanding. It mostly focus on the formula without any meaningful of the equation. Exam questions are mostly grinding through the number and remembering the formula. Don't waste your time if you want to understand the meaning of the math behind.

By Eric D B

•Nov 15, 2017

Doing this course takes longer than stated and needs constant research to understand what is missing in the classes lectures. Some problems are the assumption of finance jargon is known and pricing formulas are given without fully explaining its origins stating its simple algebra.

By Tatiana B

•Jun 21, 2020

4* for the material, 2* for the way it way taught. 3* is the average.

The course is very challenging. I felt miserable while doing most of the assignments. Math background is required.

What was good: the topic is relevant to my job. There are very few courses on this topic. The course is pretty logical and covers the problem in general.

What was bad:

1. The examples are not worked through. No excel examples. If you want to get the numbers from the slides, you have to replicate the calculation process almost from scratch.

2. The way the instructor explained the things confused me in the cases when I knew the idea in advance. I mean I used to understand the concept, and then I stopped understanding it (e.g. PCA).

3. The assignments are time consuming. There is no way to check the process. Once you end up with a wrong answer, there is no way to check if it is as arithmetical error or you got the idea wrong in general.

4. No study books or other reference or explanatory material

5. Forum is almost dead

6. Jumping back and forth from simple yield to exponential was confusing. I ended up trying different yields in the assignments. Is there anybody in the real world who uses exponential yield for bonds??

7. There were few cases in the assignments, when I ended up trying all formulas from the slides which seemed to be relevant. I did not get the idea, I was just persistent in trying everything I could. There were few time when I used wikipedia instead of slides. I still don't know where the correct formulas are on the slides. I did not find them.

8. Math assignments. How do you type in those formulas? Coursera help page did not help.

By gowtham

•Jun 20, 2017

very poor presentation

By Sanket D

•Aug 28, 2020

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.

By Michael B

•Jan 31, 2017

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

-Michael

By Robert G

•Jan 15, 2018

Great course and I learned a lot from it, much more than I initially anticipated. The staff is very supportive and gives right advise when there is a need. Would like to see more intuitive explanations along with the mathematical derivations. Not an easy course but really worth to take it to the end.

By Гуревич А

•May 4, 2020

If you don't take this course as a part of your university degree and you won't get 5 credits for it, I don't think it worth passing this course. However, you can take it and do it at your convenience.

Whereas the contents of this course are strongly relevant for every quant, and the level of this course is uniquely advanced (it's hard to find anything that advanced in Coursera, at least for quants), I was very mad about the assignments. They are definitely too cumbersome for this platform. Coursera is not the university, the certificates from here don't matter anything for the employers, they only show that you are doing something for your self-development, but nothing more.

So, the problem is that assignments require to spend really a plenty of time for doing them. Many questions require several computational (and not very easy) steps, and everything can go wrong at any of those, and after submission you'll see only that your answer is wrong. But you don't know where you've made a mistake, and you go to the discussion forums, compare some intermediary answers and check your code again and again. The most obvious solution would be at least to split these questions step-by-step.

One could say that in real work you'll face same problems, but according to my experience, it's not true (or at least you get paid for it). You definitely won't have to manually fill in bonds cash flows in huge matrices, and definitely you won't have to do bootstrap manually too.

Also it seems that the course staff doesn't answer forums discussions anymore, but it may be not true.

Coursera is needed for acquiring new knowledge, but not for parenting stubborn and persistent graduates. I've spent more time only solving the final quiz than I've spent on many other full courses here.

Why did I pass this course? I needed it for my job, and my corporate Coursera license would be cancelled if I wouldn't finish it :)

I gave 3 stars because the content is really good.

By Angky A

•Sep 26, 2021

the explanation is hard to understand even for me a cfa charterholder and frm certified

By Fabio

•Feb 23, 2018

Great course! If you have not deep economic/financial background (f.i., I am an engineer) you should not rely too much to the expected time required to complete the week assignment, especially weeks 4 and 5. Lectures have a marked mathematical facet (it's a financial mathematics course, after all!) and exercises are well designed to make you understand the matter. The final exam stays in ~200 lines of Matlab (comments included), so if you are committed you will succeed.

By Philippe T

•Sep 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 Bikash S B S

•Jul 25, 2020

The notations used are not clear. The instructor is not making the course as simpler as it's to be.

By Ahmed G I

•Sep 5, 2020

They have asked to do some assignments but gave no assignments. I tried to unenroll from this course but that option wasn't given to me either.

By Nail M

•May 11, 2020

5 stars for the great content. Learned a lot. Especially about curve bootstrap, HJM and calibration of HJM models. Bigs thanks to Damir Filipovic and the team making this course possible!

It would be great to have any other course on quant finance topic from Ecole Polytechnique.

For those who want to take the course:

Yes the content is superb and the course worth taking if you are into quant finance. Expect to work on the problems much more than the suggested time, even more if you want to understand the math behind. For example, I was already familiar with mathematics of risk neutral pricing and understood the change of measure technique. The latter I would put in prerequisites for the course, otherwise one will have to learn it from other sources while completing the course.

By Himanshu

•Sep 3, 2020

I find the course quite informative with concise material. it breaks down a complex topic into simpler parts. The course has a practical approach rather than delving deep into calculus. It's one of the few courses that I would pay money for. Rather than writing all the positives here, I'll focus on a few things that could have been done better, was to have a few examples worked out in the lectures. Also, Graded quizzes are tough and slow down the learning experience. it can be better if there are some sort of hints (solution at intermediate steps) to know whether your approach is right or not. Lastly, the discussion forum is dead but few answers in the forum were quite helpful.

By Jerzy D

•Feb 6, 2018

Very interesting and engaging course. It covers relevant topics in fixed income derivatives. It's rather challenging and requires some prior knowledge of quantitative finance/mathematics (and more time than stated in the syllabus :)). Also not possible to pass without some programming skills. What I didn't like is that instructor didn't provide economic intuition behind math formulas and models but rather presented them from a purely mathematical perspective.

By Arnaud B

•Jun 22, 2020

Very demanding and useful course. I learnt a lot!! It's definitely the best class that can be found on the stochastic short rate models!!! Thank you very to you Professor Filipovic and to all the person involved!!

Just one word of caution: the announced necessary time to perform practice and graded tests are often underestimated.

By Gourab C

•Sep 10, 2020

Thank You Professor Filipovic and Ecole Staff/Team...It was an exhausting course. It feels like I have earned it. I Look forward to more courses on Stochastic Calculus. Professor/Staff Please enlighten us with more quantitative finance courses......Sincerely Gourab Chakraborty

By Puttipon V

•May 26, 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 Sergey M

•Sep 18, 2020

A little tough and insufficiently explained, but one of the most useful courses on financial math here.

By Amer J

•Mar 23, 2022

Advanced Course, require dedication, reasearch and solid mathematical and programming background.

By Sungjoon B

•Aug 23, 2017

Very helpful course to revisit my daily work covering curves, derivative pricing.

By Andrea B

•Mar 14, 2020

This course covers a number of interesting topics in the field of interest rate modeling. It requires a good background in stochastic calculus and in mathematical analysis and also the knowledge of programming languages to perform advanced calculations. I recommend Python or more powerful languages, because a high degree of precision is needed to solve some exercises, mainly in the part dedicated to calibration and in the final quiz.

I would have preferred a deeper exposure of the mathematical derivation for some pivotal results such as Black’s and Bachelier's formulas for Caplets and Floorlets.

Definitely a recommended course, but not for beginners.

By Joshua H

•Apr 20, 2020

This course is very very difficult. The exercises take a lot of time to complete and there is limited support available in the forums. Also, if you are not comfortable with undergraduate mathematics and probability theory, you will probably not finish this course.

With that being said, I learned a lot from the lectures and managed to complete every quiz.