Interest Rate Models

4.5

Updated on

Course overview

Provider
Coursera
Course type
Free online course
Level
Advanced
Deadline
Flexible
Duration
30 hours
Certificate
Paid Certificate Available
Course author
Damir Filipović

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.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.

Similar courses

Decentralized Finance (DeFi) Infrastructure
  • Flexible deadline
  • 6 hours
  • Certificate
Financial Markets
  • Flexible deadline
  • 33 hours
  • Certificate
Private Equity and Venture Capital
  • Flexible deadline
  • 10 hours
  • Certificate
Interest Rate Models
  • English language

  • Recommended provider

  • Certificate available