Retour à Interest Rate Models

4.6

89 notes

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25 avis

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....

par 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

par SB

•Aug 23, 2017

Very helpful course to revisit my daily work covering curves, derivative pricing.

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24 avis

par Yong Han Shawn

•Apr 01, 2019

Great course!

par Sergey

•Feb 05, 2019

Great course to refresh interest rate finance theory and to learn something new as well. Topics are very relevant for real-world finance practice. Exercises are built to make you gain working knowledge of the material. Maybe a couple of additional (optional) videos with more detailed derivations of some pricing formulas would be a useful addition to the course.

par Qingqi Shi

•Oct 15, 2018

It's good but the exercise is much hard

par Andrei Dankin CFA, FRM

•Sep 12, 2018

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.

par K Sid

•May 21, 2018

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

par Duncan Edwards

•May 18, 2018

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)

par Bouazza SAADEDDINE

•Feb 28, 2018

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.

par Fabio Alcaro

•Feb 23, 2018

Great course! If you have not deep economic/financial background (f.i., I am an engineer) you should not rely too much to the expected time required to complete the week assignment, especially weeks 4 and 5. Lectures have a marked mathematical facet (it's a financial mathematics course, after all!) and exercises are well designed to make you understand the matter. The final exam stays in ~200 lines of Matlab (comments included), so if you are committed you will succeed.

par Jerzy Dembski

•Feb 06, 2018

Very interesting and engaging course. It covers relevant topics in fixed income derivatives. It's rather challenging and requires some prior knowledge of quantitative finance/mathematics (and more time than stated in the syllabus :)). Also not possible to pass without some programming skills. What I didn't like is that instructor didn't provide economic intuition behind math formulas and models but rather presented them from a purely mathematical perspective.

par Jackie TOM

•Jan 25, 2018

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

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