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Interest Rate Models

By Coursera on Coursera · Business
Price
$49

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.

Instructor

École Polytechnique Fédérale de Lausanne

Frequently Asked Questions

How much does Interest Rate Models cost?
Interest Rate Models costs $49. Check the course page for current pricing and available discounts.
Who teaches Interest Rate Models?
Interest Rate Models is taught by École Polytechnique Fédérale de Lausanne, École Polytechnique Fédérale de Lausanne.
What skill level is Interest Rate Models for?
This course is designed for beginner learners.