Informações sobre o curso
15,927 visualizações recentes

100% online

Comece imediatamente e aprenda em seu próprio cronograma.

Prazos flexíveis

Redefinir os prazos de acordo com sua programação.

Nível avançado

Aprox. 43 horas para completar

Sugerido: 5 weeks of study, 6 hours per week...

Inglês

Legendas: Inglês

Habilidades que você terá

CalibrationStochastic CalculusYield CurveInterest Rate Derivative

100% online

Comece imediatamente e aprenda em seu próprio cronograma.

Prazos flexíveis

Redefinir os prazos de acordo com sua programação.

Nível avançado

Aprox. 43 horas para completar

Sugerido: 5 weeks of study, 6 hours per week...

Inglês

Legendas: Inglês

Programa - O que você aprenderá com este curso

Semana
1
1 hora para concluir

Introduction

...
1 vídeo ((Total 5 mín.)), 5 leituras
1 vídeos
5 leituras
Evaluation10min
Certificate10min
Course discussions10min
Where to get help10min
Do you like our course?10min
Semana
2
8 horas para concluir

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.

...
5 vídeos ((Total 55 mín.)), 2 leituras, 6 testes
5 videos
Forward and Futures Rates14min
Coupon Bonds and Interest Rate Swaps12min
Duration and Convexity9min
Market Conventions5min
2 leituras
Compounded Interest Rates10min
Continuously Compounded Forward Rate (Forward Yield)10min
6 exercícios práticos
Interest Rates and Discount Bonds1h 20min
Forward and Futures Rates1h 10min
Coupon Bonds and Interest Rate Swaps1h
Duration and Convexity50min
Market Conventions30min
Interest Rates and Related Contracts2h 10min
Semana
3
5 horas para concluir

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.

...
4 vídeos ((Total 56 mín.)), 5 testes
4 videos
Exact Methods19min
Smoothing Methods13min
Principal Component Analysis11min
5 exercícios práticos
Bootstrapping Example30min
Exact Methods30min
Smoothing Methods40min
Principal Component Analysis30min
Estimating the Term Structure2h
Semana
4
6 horas para concluir

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.

...
4 vídeos ((Total 76 mín.)), 1 leitura, 5 testes
4 videos
Short Rate Models20min
Heath-Jarrow-Morton Framework10min
Forward Measures23min
1 leituras
Definition of Brownian Motion without Filtration10min
5 exercícios práticos
Stochastic Calculus1h 30min
Short Rate Models1h 10min
Heath-Jarrow-Morton Framework40min
Forward Measures40min
Stochastic Models1h
4.6
27 avaliaçõesChevron Right

50%

comecei uma nova carreira após concluir estes cursos

50%

consegui um benefício significativo de carreira com este curso

Principais avaliações do Interest Rate Models

por PVMay 27th 2019

This course is very good in regaining your knowledge in Interest Rate model. However, the exchange is that you have to spend time with it. But believe me it is worth your time spending

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

Instrutores

Avatar

Damir Filipović

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

Sobre Escola Politécnica Federal de Lausana

Perguntas Frequentes – FAQ

  • Ao se inscrever para um Certificado, você terá acesso a todos os vídeos, testes e tarefas de programação (se aplicável). Tarefas avaliadas pelos colegas apenas podem ser enviadas e avaliadas após o início da sessão. Caso escolha explorar o curso sem adquiri-lo, talvez você não consiga acessar certas tarefas.

  • Quando você adquire o Certificado, ganha acesso a todo o material do curso, incluindo avaliações com nota atribuída. Após concluir o curso, seu Certificado eletrônico será adicionado à sua página de Participações e você poderá imprimi-lo ou adicioná-lo ao seu perfil no LinkedIn. Se quiser apenas ler e assistir o conteúdo do curso, você poderá frequentá-lo como ouvinte sem custo.

Mais dúvidas? Visite o Central de Ajuda ao Aprendiz.