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 |
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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.
Solid review of fundamental interest rate ide
Finally finished! It's quite difficult, but really learned a lot! Thank you!
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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".