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Interest Rate Models
  • Level Expert
  • Duration 30 hours
  • Course by École Polytechnique Fédérale de Lausanne
  • Offered by

About

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.

Modules

What this course is about

    • 1 Videos
Show info about module content

1 Videos

  • Introduction

Practical information

    • 4 Readings
Show info about module content

4 Readings

  • Evaluation
  • Certificate
  • Course discussions
  • Where to get help

Course evaluation and ranking

    • 1 Readings
Show info about module content

1 Readings

  • Do you like our course?

Interest Rates and Discount Bonds

    • 1 Videos
    • 1 Readings
    • 1 Assignment
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1 Assignment

  • Interest Rates and Discount Bonds

1 Videos

  • Interest Rates and Discount Bonds

1 Readings

  • Compounded Interest Rates

Forward and Futures Rates

    • 1 Videos
    • 1 Readings
    • 1 Assignment
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1 Assignment

  • Forward and Futures Rates

1 Videos

  • Forward and Futures Rates

1 Readings

  • Continuously Compounded Forward Rate (Forward Yield)

Coupon Bonds and Interest Rate Swaps

    • 1 Videos
    • 1 Assignment
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1 Assignment

  • Coupon Bonds and Interest Rate Swaps

1 Videos

  • Coupon Bonds and Interest Rate Swaps

Duration and Convexity

    • 1 Videos
    • 1 Assignment
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1 Assignment

  • Duration and Convexity

1 Videos

  • Duration and Convexity

Market Conventions

    • 1 Videos
    • 1 Assignment
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1 Assignment

  • Market Conventions

1 Videos

  • Market Conventions

Graded Quiz

    • 1 Assignment
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1 Assignment

  • Interest Rates and Related Contracts

Bootstrapping Example

    • 1 Videos
    • 1 Assignment
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1 Assignment

  • Bootstrapping Example

1 Videos

  • Bootstrapping Example

Exact Methods

    • 1 Videos
    • 1 Assignment
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1 Assignment

  • Exact Methods

1 Videos

  • Exact Methods

Smoothing Methods

    • 1 Videos
    • 1 Assignment
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1 Assignment

  • Smoothing Methods

1 Videos

  • Smoothing Methods

Principal Component Analysis

    • 1 Videos
    • 1 Assignment
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1 Assignment

  • Principal Component Analysis

1 Videos

  • Principal Component Analysis

Graded Quiz

    • 1 Assignment
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1 Assignment

  • Estimating the Term Structure

Stochastic Calculus

    • 1 Videos
    • 1 Readings
    • 1 Assignment
Show info about module content

1 Assignment

  • Stochastic Calculus

1 Videos

  • Stochastic Calculus

1 Readings

  • Definition of Brownian Motion without Filtration

Short Rate Models

    • 1 Videos
    • 1 Assignment
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1 Assignment

  • Short Rate Models

1 Videos

  • Short Rate Models

Heath-Jarrow-Morton Framework

    • 1 Videos
    • 1 Assignment
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1 Assignment

  • Heath-Jarrow-Morton Framework

1 Videos

  • Heath-Jarrow-Morton Framework

Forward Measures

    • 1 Videos
    • 1 Assignment
Show info about module content

1 Assignment

  • Forward Measures

1 Videos

  • Forward Measures

Graded Quiz

    • 1 Assignment
Show info about module content

1 Assignment

  • Stochastic Models

Interest Rate Futures and Convexity Adjustment

    • 1 Videos
    • 1 Assignment
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1 Assignment

  • Interest Rate Futures and Convexity Adjustment

1 Videos

  • Interest Rate Futures and Convexity Adjustment

Caps and Floors

    • 1 Videos
    • 1 Assignment
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1 Assignment

  • Caps and Floors

1 Videos

  • Caps and Floors

Swaptions

    • 1 Videos
    • 1 Assignment
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1 Assignment

  • Swaptions

1 Videos

  • Swaptions

Calibration Example

    • 1 Videos
    • 1 Assignment
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1 Assignment

  • Calibration Example

1 Videos

  • Calibration Example

Graded Quiz

    • 1 Assignment
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1 Assignment

  • Interest Rate Derivatives

Final Quiz

    • 1 Readings
    • 1 Assignment
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1 Assignment

  • Final quiz

1 Readings

  • Course evaluation & ranking

Auto Summary

Delve into the sophisticated world of interest rate models with this comprehensive course designed for business and management professionals. Led by experienced instructors from Coursera, this expert-level program offers an accessible introduction to key financial concepts such as LIBOR, bonds, forward rate agreements, swaps, interest rate futures, caps, floors, and swaptions. Throughout the course, you will master essential tools like duration and convexity to effectively manage interest rate risks within bond portfolios. Gain hands-on experience in estimating the term structure from market data and learn fundamental stochastic calculus principles to develop a wide array of stochastic interest rate models. The course also covers the arbitrage pricing theorem, crucial for pricing financial derivatives, and industry-standard Black and Bachelier formulas for pricing caps, floors, and swaptions. Upon completion, you will be proficient in calibrating interest rate models to market data and pricing interest rate derivatives. The course spans approximately 1800 minutes and is available through Coursera's Starter and Professional subscription plans. Ideal for advanced learners, this program equips you with the expertise needed to excel in the dynamic field of interest rate modeling.

Damir Filipović
Instructor

Damir Filipović