课程信息
4.6
79 个评分
23 个审阅
100% 在线

100% 在线

立即开始,按照自己的计划学习。
可灵活调整截止日期

可灵活调整截止日期

根据您的日程表重置截止日期。
高级

高级

完成时间(小时)

完成时间大约为43 小时

建议:5 weeks of study, 6 hours per week...
可选语言

英语(English)

字幕:英语(English)

您将获得的技能

CalibrationStochastic CalculusYield CurveInterest Rate Derivative
100% 在线

100% 在线

立即开始,按照自己的计划学习。
可灵活调整截止日期

可灵活调整截止日期

根据您的日程表重置截止日期。
高级

高级

完成时间(小时)

完成时间大约为43 小时

建议:5 weeks of study, 6 hours per week...
可选语言

英语(English)

字幕:英语(English)

教学大纲 - 您将从这门课程中学到什么

1
完成时间(小时)
完成时间为 1 小时

Introduction

...
Reading
1 个视频 (总计 5 分钟), 5 个阅读材料
Video1 个视频
Reading5 个阅读材料
Evaluation10分钟
Certificate10分钟
Course discussions10分钟
Where to get help10分钟
Do you like our course?10分钟
2
完成时间(小时)
完成时间为 8 小时

Interest Rates and Related Contracts

We learn various notions of interest rates and some related contracts. Interest is the rent paid on a loan. A bond is the securitized form of a loan. There exist coupon paying bonds and zero-coupon bonds. The latter are also called discount bonds. Interest rates and bond prices depend on their maturity. The term structure is the function that maps the maturity to the corresponding interest rate or bond price. An important reference rate for many interest rate contracts is the LIBOR (London Interbank Offered Rate). Loans can be borrowed over future time intervals at rates that are agreed upon today. These rates are called forward or futures rates, depending on the type of the agreement. In an interest rate swap, counterparties exchange a stream of fixed-rate payments for a stream of floating-rate payments typically indexed to LIBOR. Duration and convexity are the basic tools for managing the interest rate risk inherent in a bond portfolio. We also review some of the most common market conventions that come along with interest rate market data. ...
Reading
5 个视频 (总计 55 分钟), 2 个阅读材料, 6 个测验
Video5 个视频
Forward and Futures Rates14分钟
Coupon Bonds and Interest Rate Swaps12分钟
Duration and Convexity9分钟
Market Conventions5分钟
Reading2 个阅读材料
Compounded Interest Rates10分钟
Continuously Compounded Forward Rate (Forward Yield)10分钟
Quiz6 个练习
Interest Rates and Discount Bonds20分钟
Forward and Futures Rates10分钟
Coupon Bonds and Interest Rate Swaps分钟
Duration and Convexity50分钟
Market Conventions30分钟
Interest Rates and Related Contracts10分钟
3
完成时间(小时)
完成时间为 5 小时

Estimating the Term Structure

We learn how to estimate the term structure from market data. There are two types of methods. Exact methods produce term structures that exactly match the market data. This comes at the cost of somewhat irregular shapes. Smooth methods penalize irregular shapes and trade off exactness of fit versus regularity of the term structure. We will also see what principal component analysis tells us about the basic shapes of the term structure....
Reading
4 个视频 (总计 56 分钟), 5 个测验
Video4 个视频
Exact Methods19分钟
Smoothing Methods13分钟
Principal Component Analysis11分钟
Quiz5 个练习
Bootstrapping Example30分钟
Exact Methods30分钟
Smoothing Methods40分钟
Principal Component Analysis30分钟
Estimating the Term Structure分钟
4
完成时间(小时)
完成时间为 6 小时

Stochastic Models

Models for the evolution of the term structure of interest rates build on stochastic calculus. We start with a crash course in stochastic calculus, which introduces Brownian motion, stochastic integration, and stochastic processes without going into mathematical details. This provides the necessary tools to engineer a large variety of stochastic interest rate models. We then study some of the most prevalent so-called short rate models and Heath-Jarrow-Morton models. We also review the arbitrage pricing theorem from finance that provides the foundation for pricing financial derivatives. As an application we price options on bonds....
Reading
4 个视频 (总计 76 分钟), 1 个阅读材料, 5 个测验
Video4 个视频
Short Rate Models20分钟
Heath-Jarrow-Morton Framework10分钟
Forward Measures23分钟
Reading1 个阅读材料
Definition of Brownian Motion without Filtration10分钟
Quiz5 个练习
Stochastic Calculus30分钟
Short Rate Models10分钟
Heath-Jarrow-Morton Framework40分钟
Forward Measures40分钟
Stochastic Models分钟
4.6
23 个审阅Chevron Right
工作福利

83%

通过此课程获得实实在在的工作福利

热门审阅

创建者 MBJan 31st 2017

Great course! Level of difficulty is about first or second year Ph.D. in economics/finance. I learned a lot.\n\n-Michael

创建者 SBAug 23rd 2017

Very helpful course to revisit my daily work covering curves, derivative pricing.

讲师

Avatar

Damir Filipović

EPFL
The Swissquote Chair in Quantitative Finance and Swiss Finance Institute Professor

关于 École Polytechnique Fédérale de Lausanne

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