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.
Interest Rate ModelsÉcole Polytechnique Fédérale de Lausanne
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Habilidades que obtendrás
- 5 stars76,30 %
- 4 stars11,56 %
- 3 stars4,62 %
- 2 stars2,31 %
- 1 star5,20 %
Principales reseñas sobre INTEREST RATE MODELS
Very interesting course. Would be great if there is a second part of this course about modern pricing with OIS swap, collateral ...
Very difficult course. It took me a lot of time. It requires a background in quantitative finance.
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.
Very helpful course to revisit my daily work covering curves, derivative pricing.
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