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.
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Interest Rate Models
École polytechnique fédérale de LausanneÀ propos de ce cours
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Essayez Coursera pour les affairesCompétences que vous acquerrez
- Calibration
- Stochastic Calculus
- Yield Curve
- Interest Rate Derivative
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Programme de cours : ce que vous apprendrez dans ce cours
Introduction
Interest Rates and Related Contracts
Estimating the Term Structure
Stochastic Models
Avis
- 5 stars75,84 %
- 4 stars12,35 %
- 3 stars4,49 %
- 2 stars2,24 %
- 1 star5,05 %
Meilleurs avis pour INTEREST RATE MODELS
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.
Very helpful course to revisit my daily work covering curves, derivative pricing.
Very interesting course. Would be great if there is a second part of this course about modern pricing with OIS swap, collateral ...
Advanced Course, require dedication, reasearch and solid mathematical and programming background.
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