课程信息
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高级

完成时间大约为43 小时

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

英语(English)

字幕:英语(English)

您将获得的技能

CalibrationStochastic CalculusYield CurveInterest Rate Derivative

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

根据您的日程表重置截止日期。

高级

完成时间大约为43 小时

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

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
完成时间为 1 小时

Introduction

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1 个视频 (总计 5 分钟), 5 个阅读材料
1 个视频
5 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.

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5 个视频 (总计 55 分钟), 2 个阅读材料, 6 个测验
5 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
2 个阅读材料
Compounded Interest Rates10分钟
Continuously Compounded Forward Rate (Forward Yield)10分钟
6 个练习
Interest Rates and Discount Bonds1 小时 20 分
Forward and Futures Rates1 小时 10 分
Coupon Bonds and Interest Rate Swaps1小时
Duration and Convexity50分钟
Market Conventions30分钟
Interest Rates and Related Contracts2 小时 10 分
3
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.

...
4 个视频 (总计 56 分钟), 5 个测验
4 个视频
Exact Methods19分钟
Smoothing Methods13分钟
Principal Component Analysis11分钟
5 个练习
Bootstrapping Example30分钟
Exact Methods30分钟
Smoothing Methods40分钟
Principal Component Analysis30分钟
Estimating the Term Structure2小时
4
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.

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4 个视频 (总计 76 分钟), 1 个阅读材料, 5 个测验
4 个视频
Short Rate Models20分钟
Heath-Jarrow-Morton Framework10分钟
Forward Measures23分钟
1 个阅读材料
Definition of Brownian Motion without Filtration10分钟
5 个练习
Stochastic Calculus1 小时 30 分
Short Rate Models1 小时 10 分
Heath-Jarrow-Morton Framework40分钟
Forward Measures40分钟
Stochastic Models1小时
4.6
27 个审阅Chevron Right

50%

完成这些课程后已开始新的职业生涯

50%

通过此课程获得实实在在的工作福利

来自Interest Rate Models的热门评论

创建者 PVMay 27th 2019

This course is very good in regaining your knowledge in Interest Rate model. However, the exchange is that you have to spend time with it. But believe me it is worth your time spending

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

讲师

Avatar

Damir Filipović

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

关于 洛桑联邦理工学院

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