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.
Informações sobre o curso
4.6
89 classificações
Habilidades que você terá
CalibrationStochastic CalculusYield CurveInterest Rate Derivative
Programa - O que você aprenderá com este curso
Semana
11 hora para concluir
Introduction
1 vídeo (total de (Total 5 mín.) min), 5 leituras
1 vídeos
Introduction5min
5 leituras
Evaluation10min
Certificate10min
Course discussions10min
Where to get help10min
Do you like our course?10min
Semana
28 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 de (Total 55 mín.) min), 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 Bonds20min
Forward and Futures Rates10min
Coupon Bonds and Interest Rate Swapss
Duration and Convexity50min
Market Conventions30min
Interest Rates and Related Contracts10min
Semana
35 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 de (Total 56 mín.) min), 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 Structures
Semana
46 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 de (Total 76 mín.) min), 1 leitura, 5 testes
4 videos
Stochastic Calculus21min
Short Rate Models20min
Heath-Jarrow-Morton Framework10min
Forward Measures23min
1 leituras
Definition of Brownian Motion without Filtration10min
5 exercícios práticos
Stochastic Calculus30min
Short Rate Models10min
Heath-Jarrow-Morton Framework40min
Forward Measures40min
Stochastic Modelss
50%
comecei uma nova carreira após concluir estes cursos
50%
consegui um benefício significativo de carreira com este curso
Melhores avaliações
Great course! Level of difficulty is about first or second year Ph.D. in economics/finance. I learned a lot.\n\n-Michael
Very helpful course to revisit my daily work covering curves, derivative pricing.
Instrutores
Damir Filipović
EPFLThe Swissquote Chair in Quantitative Finance and Swiss Finance Institute Professor
Sobre Escola Politécnica Federal de Lausana
Perguntas Frequentes – FAQ
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