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.
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Interest Rate Models
洛桑联邦理工学院课程信息
19,513 次近期查看
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高级
完成时间大约为30 小时
英语(English)
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体验 Coursera 企业版您将获得的技能
- Calibration
- Stochastic Calculus
- Yield Curve
- Interest Rate Derivative
可灵活调整截止日期
根据您的日程表重置截止日期。
可分享的证书
完成后获得证书
100% 在线
立即开始,按照自己的计划学习。
高级
完成时间大约为30 小时
英语(English)
对员工进行热门技能培训能否为您的公司带来益处?
体验 Coursera 企业版提供方
授课大纲 - 您将从这门课程中学到什么
完成时间为 1 小时
Introduction
完成时间为 1 小时
1 个视频 (总计 5 分钟), 5 个阅读材料
完成时间为 8 小时
Interest Rates and Related Contracts
完成时间为 8 小时
5 个视频 (总计 55 分钟), 2 个阅读材料, 6 个测验
完成时间为 5 小时
Estimating the Term Structure
完成时间为 5 小时
4 个视频 (总计 56 分钟)
完成时间为 6 小时
Stochastic Models
完成时间为 6 小时
4 个视频 (总计 76 分钟), 1 个阅读材料, 5 个测验
审阅
- 5 stars75.84%
- 4 stars12.35%
- 3 stars4.49%
- 2 stars2.24%
- 1 star5.05%
来自INTEREST RATE MODELS的热门评论
由 PT 提供Sep 30, 2019
Very interesting course. Would be great if there is a second part of this course about modern pricing with OIS swap, collateral ...
由 SS 提供Aug 28, 2020
Probably the most rigorous course on Coursera. Requires solid effort worthy of a graduate course. Kudos to the professors, TAs for putting together the assignments.
由 MB 提供Jan 30, 2017
Great course! Level of difficulty is about first or second year Ph.D. in economics/finance. I learned a lot.
-Michael
由 SB 提供Aug 22, 2017
Very helpful course to revisit my daily work covering curves, derivative pricing.
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