Acerca de este Curso
4.5
68 ratings
21 reviews
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....
Globe

Cursos 100 % en línea

Comienza de inmediato y aprende a tu propio ritmo.
Calendar

Fechas límite flexibles

Restablece las fechas límite en función de tus horarios.
Advanced Level

Nivel avanzado

Clock

Sugerido: 5 weeks of study, 6 hours per week

Aprox. 42 horas para completar
Comment Dots

English

Subtítulos: English

Habilidades que obtendrás

Interest Rate DerivativeCalibrationYield CurveInterest Rate
Globe

Cursos 100 % en línea

Comienza de inmediato y aprende a tu propio ritmo.
Calendar

Fechas límite flexibles

Restablece las fechas límite en función de tus horarios.
Advanced Level

Nivel avanzado

Clock

Sugerido: 5 weeks of study, 6 hours per week

Aprox. 42 horas para completar
Comment Dots

English

Subtítulos: English

Programa - Qué aprenderás en este curso

1

Sección
Clock
1 hora para completar

Introduction

...
Reading
1 video (Total: 5 min), 5 readings
Video1 video
Reading5 lecturas
Evaluation10m
Certificate10m
Course discussions10m
Where to get help10m
Do you like our course?10m

2

Sección
Clock
8 horas para completar

Interest Rates and Related Contracts

We learn various notions of interest rates and some related contracts. Interest is the rent paid on a loan. A bond is the securitized form of a loan. There exist coupon paying bonds and zero-coupon bonds. The latter are also called discount bonds. Interest rates and bond prices depend on their maturity. The term structure is the function that maps the maturity to the corresponding interest rate or bond price. An important reference rate for many interest rate contracts is the LIBOR (London Interbank Offered Rate). Loans can be borrowed over future time intervals at rates that are agreed upon today. These rates are called forward or futures rates, depending on the type of the agreement. In an interest rate swap, counterparties exchange a stream of fixed-rate payments for a stream of floating-rate payments typically indexed to LIBOR. Duration and convexity are the basic tools for managing the interest rate risk inherent in a bond portfolio. We also review some of the most common market conventions that come along with interest rate market data. ...
Reading
5 videos (Total: 55 min), 2 readings, 6 quizzes
Video5 videos
Forward and Futures Rates14m
Coupon Bonds and Interest Rate Swaps12m
Duration and Convexity9m
Market Conventions5m
Reading2 lecturas
Compounded Interest Rates10m
Continuously Compounded Forward Rate (Forward Yield)10m
Quiz6 ejercicios de práctica
Interest Rates and Discount Bonds20m
Forward and Futures Rates10m
Coupon Bonds and Interest Rate Swapsm
Duration and Convexity50m
Market Conventions30m
Interest Rates and Related Contracts10m

3

Sección
Clock
5 horas para completar

Estimating the Term Structure

We learn how to estimate the term structure from market data. There are two types of methods. Exact methods produce term structures that exactly match the market data. This comes at the cost of somewhat irregular shapes. Smooth methods penalize irregular shapes and trade off exactness of fit versus regularity of the term structure. We will also see what principal component analysis tells us about the basic shapes of the term structure....
Reading
4 videos (Total: 56 min), 5 quizzes
Video4 videos
Exact Methods19m
Smoothing Methods13m
Principal Component Analysis11m
Quiz5 ejercicios de práctica
Bootstrapping Example30m
Exact Methods30m
Smoothing Methods40m
Principal Component Analysis30m
Estimating the Term Structurem

4

Sección
Clock
6 horas para completar

Stochastic Models

Models for the evolution of the term structure of interest rates build on stochastic calculus. We start with a crash course in stochastic calculus, which introduces Brownian motion, stochastic integration, and stochastic processes without going into mathematical details. This provides the necessary tools to engineer a large variety of stochastic interest rate models. We then study some of the most prevalent so-called short rate models and Heath-Jarrow-Morton models. We also review the arbitrage pricing theorem from finance that provides the foundation for pricing financial derivatives. As an application we price options on bonds....
Reading
4 videos (Total: 76 min), 1 reading, 5 quizzes
Video4 videos
Short Rate Models20m
Heath-Jarrow-Morton Framework10m
Forward Measures23m
Reading1 lectura
Definition of Brownian Motion without Filtration10m
Quiz5 ejercicios de práctica
Stochastic Calculus30m
Short Rate Models10m
Heath-Jarrow-Morton Framework40m
Forward Measures40m
Stochastic Modelsm
4.5
Briefcase

83%

consiguió un beneficio tangible en su carrera profesional gracias a este curso

Principales revisiones

por MBJan 31st 2017

Great course! Level of difficulty is about first or second year Ph.D. in economics/finance. I learned a lot.\n\n-Michael

por SBAug 23rd 2017

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

Instructor

Damir Filipović

EPFL
The Swissquote Chair in Quantitative Finance and Swiss Finance Institute Professor

Acerca de École Polytechnique Fédérale de Lausanne

Preguntas Frecuentes

  • Once you enroll for a Certificate, you’ll have access to all videos, quizzes, and programming assignments (if applicable). Peer review assignments can only be submitted and reviewed once your session has begun. If you choose to explore the course without purchasing, you may not be able to access certain assignments.

  • When you purchase a Certificate you get access to all course materials, including graded assignments. Upon completing the course, your electronic Certificate will be added to your Accomplishments page - from there, you can print your Certificate or add it to your LinkedIn profile. If you only want to read and view the course content, you can audit the course for free.

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