Interest Rate Models

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.

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Syllabus

Syllabus - What you will learn from this course
Week 1
Introduction
Week 2
Interest Rates and Related Contracts
Week 3
Estimating the Term Structure
Week 4
Stochastic Models
Week 5
Interest Rate Derivatives
Week 6
Final Quiz

FAQ

When will I have access to the lectures and assignments?

Access to lectures and assignments depends on your type of enrollment. If you take a course in audit mode, you will be able to see most course materials for free. To access graded assignments and to earn a Certificate, you will need to purchase the Certificate experience, during or after your audit. If you don't see the audit option:

What will I get if I purchase the Certificate?

When you purchase a Certificate you get access to all course materials, including graded assignments. Upon completing the course, your electronic Certificate will be added to your Accomplishments page - from there, you can print your Certificate or add it to your LinkedIn profile. If you only want to read and view the course content, you can audit the course for free.

Is financial aid available?

Yes. In select learning programs, you can apply for financial aid or a scholarship if you can’t afford the enrollment fee. If fin aid or scholarship is available for your learning program selection, you’ll find a link to apply on the description page.

Reviews

This course was very interesting and a bit hard for me, specially those topics involving measure theory.

I'd like to thank to the course moderators and their helpfully advices.

Very interesting course. Would be great if there is a second part of this course about modern pricing with OIS swap, collateral ...

Very difficult course. It took me a lot of time. It requires a background in quantitative finance.

This course is a challenge. Very demanding. However you learn a lot.