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 | Advanced |
| 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 |
- Vídeo: Introduction
- Lecture: Evaluation
- Lecture: Certificate
- Lecture: Course discussions
- Lecture: Where to get help
- Lecture: Do you like our course?
- Vídeo: Interest Rates and Discount Bonds
- Lecture: Compounded Interest Rates
- Quiz pour s'exercer: Interest Rates and Discount Bonds
- Vídeo: Forward and Futures Rates
- Lecture: Continuously Compounded Forward Rate (Forward Yield)
- Quiz pour s'exercer: Forward and Futures Rates
- Vídeo: Coupon Bonds and Interest Rate Swaps
- Quiz pour s'exercer: Coupon Bonds and Interest Rate Swaps
- Vídeo: Duration and Convexity
- Quiz pour s'exercer: Duration and Convexity
- Vídeo: Market Conventions
- Quiz pour s'exercer: Market Conventions
- Vídeo: Bootstrapping Example
- Quiz pour s'exercer: Bootstrapping Example
- Vídeo: Exact Methods
- Quiz pour s'exercer: Exact Methods
- Vídeo: Smoothing Methods
- Quiz pour s'exercer: Smoothing Methods
- Vídeo: Principal Component Analysis
- Quiz pour s'exercer: Principal Component Analysis
- Vídeo: Stochastic Calculus
- Lecture: Definition of Brownian Motion without Filtration
- Quiz pour s'exercer: Stochastic Calculus
- Vídeo: Short Rate Models
- Quiz pour s'exercer: Short Rate Models
- Vídeo: Heath-Jarrow-Morton Framework
- Quiz pour s'exercer: Heath-Jarrow-Morton Framework
- Vídeo: Forward Measures
- Quiz pour s'exercer: Forward Measures
- Vídeo: Interest Rate Futures and Convexity Adjustment
- Quiz pour s'exercer: Interest Rate Futures and Convexity Adjustment
- Vídeo: Caps and Floors
- Quiz pour s'exercer: Caps and Floors
- Vídeo: Swaptions
- Quiz pour s'exercer: Swaptions
- Vídeo: Calibration Example
- Quiz pour s'exercer: Calibration Example
- Lecture: Course evaluation & ranking
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Connectez-vous à des milliers d'autres étudiants et débattez sur des idées, discutez le contenu du cours et obtenez de l'aide pour en maîtriser les concepts.
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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.
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.
Very engaging materials and it is a difficult course!! Background in linear algebra, stochastic calculus and computer programming is recommended.
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.