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Learner Reviews & Feedback for Interest Rate Models by École Polytechnique Fédérale de Lausanne

4.6
101 ratings
28 reviews

About the Course

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....

Top reviews

PV

May 27, 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

MB

Jan 31, 2017

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

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26 - 28 of 28 Reviews for Interest Rate Models

By Cheung W C

Sep 19, 2019

I wish there is a course on credit risk in a similar fashion.

By Jackie T

Jan 25, 2018

Very engaging materials and it is a difficult course!! Background in linear algebra, stochastic calculus and computer programming is recommended.

By Md N A

Apr 09, 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.