À propos de ce cours : 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.
Les destinataires de ce cours : 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.
Enseigné par : Damir Filipović, EPFL
The Swissquote Chair in Quantitative Finance and Swiss Finance Institute Professor
| Niveau | Avancées |
| Engagement | 5 weeks of study, 6 hours per week |
| Langue | English |
| Comment réussir | Réussissez tous les devoirs notés pour terminer le cours. |
| Notes des utilisateurs |
- Leyendo: Evaluation
- Leyendo: Certificate
- Leyendo: Course discussions
- Leyendo: Where to get help
- Leyendo: Do you like our course?
- Leyendo: Compounded Interest Rates
- Cuestionario de práctica: Interest Rates and Discount Bonds
- Vidéo: Forward and Futures Rates
- Leyendo: Continuously Compounded Forward Rate (Forward Yield)
- Cuestionario de práctica: Forward and Futures Rates
- Vidéo: Coupon Bonds and Interest Rate Swaps
- Cuestionario de práctica: Coupon Bonds and Interest Rate Swaps
- Vidéo: Duration and Convexity
- Cuestionario de práctica: Duration and Convexity
- Vidéo: Market Conventions
- Cuestionario de práctica: Market Conventions
- Cuestionario de práctica: Bootstrapping Example
- Vidéo: Exact Methods
- Cuestionario de práctica: Exact Methods
- Vidéo: Smoothing Methods
- Cuestionario de práctica: Smoothing Methods
- Vidéo: Principal Component Analysis
- Cuestionario de práctica: Principal Component Analysis
- Leyendo: Definition of Brownian Motion without Filtration
- Cuestionario de práctica: Stochastic Calculus
- Vidéo: Short Rate Models
- Cuestionario de práctica: Short Rate Models
- Vidéo: Heath-Jarrow-Morton Framework
- Cuestionario de práctica: Heath-Jarrow-Morton Framework
- Vidéo: Forward Measures
- Cuestionario de práctica: Forward Measures
- Cuestionario de práctica: Interest Rate Futures and Convexity Adjustment
- Vidéo: Caps and Floors
- Cuestionario de práctica: Caps and Floors
- Vidéo: Swaptions
- Cuestionario de práctica: Swaptions
- Vidéo: Calibration Example
- Cuestionario de práctica: Calibration Example
- Leyendo: Course evaluation & ranking
Cada curso es como un libro de texto interactivo, con videos pregrabados, cuestionarios y proyectos.
Conéctate con miles de estudiantes y debate ideas y materiales del curso, y obtén ayuda para dominar los conceptos.
Obtén reconocimiento oficial por tu trabajo y comparte tu éxito con amigos, compañeros y empleadores.
Difficult but interesting course. Only it took me more time than announced to complete it and perhaps additional materials (articles, link to thesis etc...) would be beneficial
An excellent course, well structured and clearly taught. The tests were very challenging but interesting. Not being a financial graduate I found the learning curve very steep but it was very stimulating and enjoyable: the course not only taught me a lot about financial models relating to interest rates but also gave me some entry points into interesting mathematics (measure theory, martingales, stochastic calculus)
Very challenging and rewarding course, the treatment of interest rates is of the level of a Master's degree in financial mathematics. I would advise anyone attempting this course to get at least a little more exposure to stochastic calculus before attempting it even though it already provides a small crash course.
The sophisticated theory is being delivered in a very accurate and rigorous manner with references to market practice. Thank you authors and I'm waiting for the new courses in quantitative finance with the level of sophistication not less than this one.