Interest Rate Models
About this Course
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.Created by: École Polytechnique Fédérale de Lausanne
Related Online Courses
This design-centric course examines the broad question of what an interface is and what role a designer plays in creating a user interface. Learning how to design and articulate meaning using... more
This course is designed for telecommunications engineers interested in understanding how the applications of 5G network technology in industry, home life, and society at large. Learners will... more
In the third course, you will learn how to use information from cost accounting to improve managerial decision-making. We discuss business decisions and suggest how cost information can support... more
This specialization is intended for individuals seeking to develop proficiency in the architecture of Kubernetes and container orchestration techniques. The course is aligned with the Certified... more
This Specialization covers elements of three major creative writing genres: short story, narrative essay, and memoir. You will master the techniques that good writers use to compose a bracing... more