Informações sobre o curso: 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.
Para quem é direcionado este curso: This course is primarily aimed at advanced graduates interested in quantitative finance, along with finance professionals with an interest in interest rate models. Prerequisites for this course: elementary probability theory and real calculus. To solve the quizzes, students also need a matrix-oriented scientific computing package such as Matlab or R.
Ministrado por: Damir Filipović, EPFL
The Swissquote Chair in Quantitative Finance and Swiss Finance Institute Professor
| Nível | Avançado |
| Compromisso | 5 weeks of study, 6 hours per week |
| Idioma | English |
| Como ser aprovado | Seja aprovado em todas as tarefas para concluir o curso. |
| Classificação do usuário |
- Reading: Evaluation
- Reading: Certificate
- Reading: Course discussions
- Reading: Where to get help
- Reading: Do you like our course?
- Reading: Compounded Interest Rates
- Practice Quiz: Interest Rates and Discount Bonds
- Vídeo: Forward and Futures Rates
- Reading: Continuously Compounded Forward Rate (Forward Yield)
- Practice Quiz: Forward and Futures Rates
- Vídeo: Coupon Bonds and Interest Rate Swaps
- Practice Quiz: Coupon Bonds and Interest Rate Swaps
- Vídeo: Duration and Convexity
- Practice Quiz: Duration and Convexity
- Vídeo: Market Conventions
- Practice Quiz: Market Conventions
- Practice Quiz: Bootstrapping Example
- Vídeo: Exact Methods
- Practice Quiz: Exact Methods
- Vídeo: Smoothing Methods
- Practice Quiz: Smoothing Methods
- Vídeo: Principal Component Analysis
- Practice Quiz: Principal Component Analysis
- Reading: Definition of Brownian Motion without Filtration
- Practice Quiz: Stochastic Calculus
- Vídeo: Short Rate Models
- Practice Quiz: Short Rate Models
- Vídeo: Heath-Jarrow-Morton Framework
- Practice Quiz: Heath-Jarrow-Morton Framework
- Vídeo: Forward Measures
- Practice Quiz: Forward Measures
- Practice Quiz: Interest Rate Futures and Convexity Adjustment
- Vídeo: Caps and Floors
- Practice Quiz: Caps and Floors
- Vídeo: Swaptions
- Practice Quiz: Swaptions
- Vídeo: Calibration Example
- Practice Quiz: Calibration Example
- Reading: Course evaluation & ranking
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An excellent course, well structured and clearly taught. The tests were very challenging but interesting. Not being a financial graduate I found the learning curve very steep but it was very stimulating and enjoyable: the course not only taught me a lot about financial models relating to interest rates but also gave me some entry points into interesting mathematics (measure theory, martingales, stochastic calculus)
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.
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.
KS
Difficult but interesting course. Only it took me more time than announced to complete it and perhaps additional materials (articles, link to thesis etc...) would be beneficial