课程信息
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.
Globe

100% 在线课程

立即开始,按照自己的计划学习。
Advanced Level

高级

Clock

完成时间大约为43 小时

建议:5 weeks of study, 6 hours per week
Comment Dots

English

字幕:English
Globe

100% 在线课程

立即开始,按照自己的计划学习。
Advanced Level

高级

Clock

完成时间大约为43 小时

建议:5 weeks of study, 6 hours per week
Comment Dots

English

字幕:English

Syllabus - What you will learn from this course

1

Section
Clock
1 hour to complete

Introduction

...
Reading
1 video (Total 5 min), 5 readings
Video1 videos
Reading5 readings
Evaluation10m
Certificate10m
Course discussions10m
Where to get help10m
Do you like our course?10m

2

Section
Clock
8 hours to complete

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 videos (Total 55 min), 2 readings, 6 quizzes
Video5 videos
Forward and Futures Rates14m
Coupon Bonds and Interest Rate Swaps12m
Duration and Convexity9m
Market Conventions5m
Reading2 readings
Compounded Interest Rates10m
Continuously Compounded Forward Rate (Forward Yield)10m
Quiz6 practice exercises
Interest Rates and Discount Bonds20m
Forward and Futures Rates10m
Coupon Bonds and Interest Rate Swaps0m
Duration and Convexity50m
Market Conventions30m
Interest Rates and Related Contracts10m

3

Section
Clock
5 hours to complete

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 videos (Total 56 min), 5 quizzes
Video4 videos
Exact Methods19m
Smoothing Methods13m
Principal Component Analysis11m
Quiz5 practice exercises
Bootstrapping Example30m
Exact Methods30m
Smoothing Methods40m
Principal Component Analysis30m
Estimating the Term Structure0m

4

Section
Clock
6 hours to complete

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 videos (Total 76 min), 1 reading, 5 quizzes
Video4 videos
Short Rate Models20m
Heath-Jarrow-Morton Framework10m
Forward Measures23m
Reading1 readings
Definition of Brownian Motion without Filtration10m
Quiz5 practice exercises
Stochastic Calculus30m
Short Rate Models10m
Heath-Jarrow-Morton Framework40m
Forward Measures40m
Stochastic Models0m

5

Section
Clock
5 hours to complete

Interest Rate Derivatives

We apply what we learnt to price interest rate derivatives. Specifically, we focus on the standard derivatives: interest rate futures, caps and floors, and swaptions. We derive the industry standard Black and Bachelier formulas for cap, floor, and swaption prices. In a case study we learn how to calibrate a stochastic interest rate model to market data....
Reading
4 videos (Total 46 min), 5 quizzes
Video4 videos
Caps and Floors14m
Swaptions10m
Calibration Example11m
Quiz5 practice exercises
Interest Rate Futures and Convexity Adjustment30m
Caps and Floors40m
Swaptions30m
Calibration Example0m
Interest Rate Derivatives40m

6

Section
Clock
4 hours to complete

Final Quiz

...
Reading
1 reading, 1 quiz
Reading1 readings
Course evaluation & ranking10m
Quiz1 practice exercises
Final quiz0m
4.6
Briefcase

83%

got a tangible career benefit from this course

Top Reviews

By KSMay 21st 2018

Difficult but interesting course. Only it took me more time than announced to complete it and perhaps additional materials (articles, link to thesis etc...) would be beneficial

By 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

Instructor

About École Polytechnique Fédérale de Lausanne

Frequently Asked Questions

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