Course Summary
Interest Rate Models course will teach students about the mathematical models used in the pricing of fixed-income securities and interest rate derivatives. The course will introduce students to various interest rate models, including the Black-Derman-Toy and Hull-White models.Key Learning Points
- Understand the mathematical models used in the pricing of fixed-income securities and interest rate derivatives
- Learn about various interest rate models including Black-Derman-Toy and Hull-White models
- Explore the practical applications of interest rate models in the financial industry
Related Topics for further study
- Fixed-Income Securities
- Interest Rate Derivatives
- Financial Modeling
- Quantitative Analysis
- Risk Management
Learning Outcomes
- Ability to apply mathematical models in the pricing of fixed-income securities and interest rate derivatives
- Understanding of various interest rate models and their practical applications
- Enhanced quantitative analysis and risk management skills
Prerequisites or good to have knowledge before taking this course
- Basic knowledge of calculus and linear algebra
- Familiarity with financial instruments such as bonds and options
Course Difficulty Level
IntermediateCourse Format
- Online
- Self-paced
Similar Courses
- Financial Engineering and Risk Management Part I
- Financial Markets
Related Education Paths
Notable People in This Field
- Nassim Nicholas Taleb
- Emanuel Derman
Related Books
Description
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.
Outline
- Introduction
- Introduction
- Evaluation
- Certificate
- Course discussions
- Where to get help
- Do you like our course?
- Interest Rates and Related Contracts
- Interest Rates and Discount Bonds
- Forward and Futures Rates
- Coupon Bonds and Interest Rate Swaps
- Duration and Convexity
- Market Conventions
- Compounded Interest Rates
- Continuously Compounded Forward Rate (Forward Yield)
- Interest Rates and Discount Bonds
- Forward and Futures Rates
- Coupon Bonds and Interest Rate Swaps
- Duration and Convexity
- Market Conventions
- Interest Rates and Related Contracts
- Estimating the Term Structure
- Bootstrapping Example
- Exact Methods
- Smoothing Methods
- Principal Component Analysis
- Bootstrapping Example
- Exact Methods
- Smoothing Methods
- Principal Component Analysis
- Estimating the Term Structure
- Stochastic Models
- Stochastic Calculus
- Short Rate Models
- Heath-Jarrow-Morton Framework
- Forward Measures
- Definition of Brownian Motion without Filtration
- Stochastic Calculus
- Short Rate Models
- Heath-Jarrow-Morton Framework
- Forward Measures
- Stochastic Models
- Interest Rate Derivatives
- Interest Rate Futures and Convexity Adjustment
- Caps and Floors
- Swaptions
- Calibration Example
- Interest Rate Futures and Convexity Adjustment
- Caps and Floors
- Swaptions
- Calibration Example
- Interest Rate Derivatives
- Final Quiz
- Course evaluation & ranking
- Final quiz
Summary of User Reviews
Key Aspect Users Liked About This Course
The course content is very detailed and provides a deep understanding of the subject.Pros from User Reviews
- The course is well-structured and easy to follow.
- The instructors are knowledgeable and engaging.
- The exercises and quizzes are helpful in reinforcing the concepts taught.
- The course provides practical applications of the models taught.
Cons from User Reviews
- The course may be too advanced for beginners with no prior knowledge of finance or mathematics.
- Some users found the pace of the course to be too slow.
- The course may not be suitable for those looking for a quick overview of the subject.
- Some users found the course to be too theoretical and lacking in real-world examples.
Damir Filipović
4.5 Raiting
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