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Avis et commentaires pour d'étudiants pour Interest Rate Models par École polytechnique fédérale de Lausanne

144 évaluations
48 avis

À propos du 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....

Meilleurs avis


May 27, 2019

This course is very good in regaining your knowledge in Interest Rate model. However, the exchange is that you have to spend time with it. But believe me it is worth your time spending


Aug 29, 2020

Probably the most rigorous course on Coursera. Requires solid effort worthy of a graduate course. Kudos to the professors, TAs for putting together the assignments.

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26 - 47 sur 47 Avis pour Interest Rate Models

par Stefano E

Apr 27, 2019

Interesting course, I learned a lot. Exercises a bit tedious sometimes and pass rate fairly high, given that 80% normally grants you the distinction in UK, not just a pass rate. Also ideally you would like the entire body of the exercise checked by the instructors, not just the final number, but I guess this would be too much for a Coursera course. Overall a very good 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 Arnaud B

Jun 22, 2020

Very demanding and useful course. I learnt a lot!! It's definitely the best class that can be found on the stochastic short rate models!!! Thank you very to you Professor Filipovic and to all the person involved!!

Just one word of caution: the announced necessary time to perform practice and graded tests are often underestimated.

par Bouazza S

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 gourab c

Sep 10, 2020

Thank You Professor Filipovic and Ecole Staff/Team...It was an exhausting course. It feels like I have earned it. I Look forward to more courses on Stochastic Calculus. Professor/Staff Please enlighten us with more quantitative finance courses......Sincerely Gourab Chakraborty

par Andrei D C F

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 Jason S

Feb 05, 2017

This is a seriously challenging class, requiring some good preparation, but it is worth every minute. The course staff members are very helpful. The problems are challenging and they are well worth doing. Good luck!

par K S

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 Sergey M

Sep 18, 2020

A little tough and insufficiently explained, but one of the most useful courses on financial math here.

par Mattia B

Dec 09, 2019

Very difficult course. It took me a lot of time. It requires a background in quantitative finance.

par Yu Z

Feb 27, 2017

Finally finished! It's quite difficult, but really learned a lot! Thank you!

par Cheung W C

Sep 19, 2019

I wish there is a course on credit risk in a similar fashion.

par David A

Mar 10, 2017

Solid review of fundamental interest rate ide

par Qingqi S

Oct 15, 2018

It's good but the exercise is much hard

par Kai L

Jul 28, 2019

Excellent Classes. Quite Difficult.

par Yong H S

Apr 01, 2019

Great course!

par Saket B

Jun 25, 2017


par Adithya S S

Apr 24, 2020

A very in-depth course that doesn't spoon-feed you anything. You'll have to work hard to pass all the graded assignments. I would give the course 5 stars if it provided with material that helps you reach the required levels with questions ranging from easy to hard rather than just dropping the best of questions at you.

par Maria S B

Oct 11, 2019

This course was very interesting and a bit hard for me, specially those topics involving measure theory.

I'd like to thank to the course moderators and their helpfully advices.

par Jackie T

Jan 25, 2018

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

par Bikash S B S

Jul 25, 2020

The notations used are not clear. The instructor is not making the course as simpler as it's to be.

par Ahmed G I

Sep 05, 2020

They have asked to do some assignments but gave no assignments. I tried to unenroll from this course but that option wasn't given to me either.