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

4.6
stars
109 évaluations
32 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

PV

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

PT

Oct 01, 2019

Very interesting course. Would be great if there is a second part of this course about modern pricing with OIS swap, collateral ...

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26 - 31 sur 31 Avis pour Interest Rate Models

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

wonderful

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.