- From www.coursera.org
Interest Rate Models
- Self-paced
- Free Access
- Fee-based Certificate
- 6 Sequences
- Advanced Level
Course details
Syllabus
- Week 1 - Introduction
- Week 2 - 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 rat... - Week 3 - 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 shape... - Week 4 - 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 mathematic... - Week 5 - Interest Rate Derivatives
We apply what we learnt to price interest rate derivatives. Specifically, we focus on the standard derivatives: interest rate futures, caps and floors, and swaptions. We derive the industry standard Black and Bachelier formulas for cap, floor, and swaption pri... - Week 6 - Final Quiz
Prerequisite
None.
Instructors
Damir Filipović
EPFL
The Swissquote Chair in Quantitative Finance and Swiss Finance Institute Professor
Editor
The École polytechnique fédérale de Lausanne (EPFL, English: Swiss Federal Institute of Technology in Lausanne) is a research university in Lausanne, Switzerland, that specialises in physical sciences and engineering.
One of the two Swiss Federal Institutes of Technology, the school was founded by the Swiss Federal Government with the stated mission to:
Educate engineers and scientists to the highest international standing
Be a national center of excellence in science and technology
Provide a hub for interaction between the scientific community and the industry
EPFL is considered one of the most prestigious universities in the world for engineering and sciences, ranking 17th overall and 10th in engineering in the 2015 QS World University Rankings; 34th overall and 12th in engineering in the 2015 Times Higher Education World University Rankings.
Platform
Coursera is a digital company offering massive open online course founded by computer teachers Andrew Ng and Daphne Koller Stanford University, located in Mountain View, California.
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