Interest Rate Models
date_range Débute le 20 mars 2017
event_note Se termine le 1 mai 2017
list 6 séquences
assignment Niveau : Introductif
label Gestion d'Entreprise
chat_bubble_outline Langue : Anglais
card_giftcard 18 points
4.3 /5
Avis de la communauté
12 avis

Les infos clés

credit_card Formation gratuite
timer 30 heures de cours

En résumé

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.

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Le programme

  • 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
     
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Les intervenants

  • Damir Filipović, EPFL
    The Swissquote Chair in Quantitative Finance and Swiss Finance Institute Professor
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Le concepteur

L’École polytechnique fédérale de Lausanne (EPFL) est une institution universitaire de renommée internationale, spécialisée dans le domaine de la science et de la technologie, située à Lausanne, bien que sur le territoire communal d'Écublens, en Suisse et fondée en 1853, sous le nom d’École spéciale de Lausanne.

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La plateforme

Coursera est une entreprise numérique proposant des formation en ligne ouverte à tous fondée par les professeurs d'informatique Andrew Ng et Daphne Koller de l'université Stanford, située à Mountain View, Californie.

Ce qui la différencie le plus des autres plateformes MOOC, c'est qu'elle travaille qu'avec les meilleures universités et organisations mondiales et diffuse leurs contenus sur le web.

Avis de la communauté
4.3 /5 Moyenne
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4.3/5
Plateforme
4.3/5
Animation
4.3/5
Le meilleur avis

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.

le 28 février 2018
Quelle note donnez-vous à cette ressource ?
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le 28 février 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.

le 23 février 2018

Great course! If you have not deep economic/financial background (f.i., I am an engineer) you should not rely too much to the expected time required to complete the week assignment, especially weeks 4 and 5. Lectures have a marked mathematical facet (it's a financial mathematics course, after all!) and exercises are well designed to make you understand the matter. The final exam stays in ~200 lines of Matlab (comments included), so if you are committed you will succeed.

le 6 février 2018

Very interesting and engaging course. It covers relevant topics in fixed income derivatives. It's rather challenging and requires some prior knowledge of quantitative finance/mathematics (and more time than stated in the syllabus :)). Also not possible to pass without some programming skills. What I didn't like is that instructor didn't provide economic intuition behind math formulas and models but rather presented them from a purely mathematical perspective.

le 25 janvier 2018

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

le 16 janvier 2018

Great course and I learned a lot from it, much more than I initially anticipated. The staff is very supportive and gives right advise when there is a need. Would like to see more intuitive explanations along with the mathematical derivations. Not an easy course but really worth to take it to the end.

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