About this 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.
Who is this class for: This course is primarily aimed at advanced graduates interested in quantitative finance, along with finance professionals with an interest in interest rate models. Prerequisites for this course: elementary probability theory and real calculus. To solve the quizzes, students also need a matrix-oriented scientific computing package such as Matlab or R.
Taught by: Damir Filipović, EPFL
The Swissquote Chair in Quantitative Finance and Swiss Finance Institute Professor
| Level | Advanced |
| Commitment | 5 weeks of study, 6 hours per week |
| Language | English |
| How To Pass | Pass all graded assignments to complete the course. |
| User Ratings |
- Video: Introduction
- Reading: Evaluation
- Reading: Certificate
- Reading: Course discussions
- Reading: Where to get help
- Video: Interest Rates and Discount Bonds
- Reading: Compounded Interest Rates
- Practice Quiz: Interest Rates and Discount Bonds
- Video: Forward and Futures Rates
- Reading: Continuously Compounded Forward Rate (Forward Yield)
- Practice Quiz: Forward and Futures Rates
- Video: Coupon Bonds and Interest Rate Swaps
- Practice Quiz: Coupon Bonds and Interest Rate Swaps
- Video: Duration and Convexity
- Practice Quiz: Duration and Convexity
- Video: Market Conventions
- Practice Quiz: Market Conventions
- Video: Bootstrapping Example
- Practice Quiz: Bootstrapping Example
- Video: Exact Methods
- Practice Quiz: Exact Methods
- Video: Smoothing Methods
- Practice Quiz: Smoothing Methods
- Video: Principal Component Analysis
- Practice Quiz: Principal Component Analysis
- Video: Stochastic Calculus
- Reading: Definition of Brownian Motion without Filtration
- Practice Quiz: Stochastic Calculus
- Video: Short Rate Models
- Practice Quiz: Short Rate Models
- Video: Heath-Jarrow-Morton Framework
- Practice Quiz: Heath-Jarrow-Morton Framework
- Video: Forward Measures
- Practice Quiz: Forward Measures
- Video: Interest Rate Futures and Convexity Adjustment
- Practice Quiz: Interest Rate Futures and Convexity Adjustment
- Video: Caps and Floors
- Practice Quiz: Caps and Floors
- Video: Swaptions
- Practice Quiz: Swaptions
- Video: Calibration Example
- Practice Quiz: Calibration Example
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A really useful and practical course in Quantitative Finance, which really raises the bar in terms of difficulty but also the knowlegde gained is definitely there. I would recommend this course even to seasoned industry professionals (e.g. traders, quants, portfolio managers) since it provides relevant techniques for measuring and managing interest rate risk and understanding interest rates derivatives space/markets. On the other hand I do feel that with useful comments, provided by the Coursera community, this course can only become better, as time goes by.
wonderful
Amazing course with a great exposé of each concept and extremely well designed assignments. The contents are brilliant, really clear, the study materials are well designed. The assignments help to recognize blind spots in the understanding of the concepts and push to implement the contents. It is a really nice balance between knowledge and know-how. Also a really tough one but "pain will make it better".
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This course has been quite challenging, which I really have enjoyed. I guess this course is a shorter and easier version of the real course the professor teaches at his own institution. It only covers about one third of his text book, but now I know I can finish the textbook by myself. I strongly recommend to future learners that they get his textbook. I learned more from examples given the textbook. Since there didn't seem many learners on this course, it was quite frustrating to find a little mistake that I was making, but I guess that understanding whether the mistakes are conceptual or computational is also an important part of financial engineering. Anyway, I hope he will offer more of courses like this on coursera.