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Interest Rate Models

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.

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Rating 4.1 based on 47 ratings
Length 7 weeks
Effort 5 weeks of study, 6 hours per week
Starts Nov 21 (7 days ago)
Cost $49
From École polytechnique fédérale de Lausanne via Coursera
Instructor Damir Filipović
Download Videos On all desktop and mobile devices
Language English
Subjects Business Mathematics
Tags Business Finance Math And Logic

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What people are saying

lot of time

It took me a lot of time.

Basic programming skills with any language such as Python or R are also indispensable for the exercises, which require a lot of time to be completed succesfully.

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quantitative finance

Give a clear introduction to quantitative finance but on the other hand, it does not give enough references, link to article to go deeper into subject Difficult but interesting course.

It's rather challenging and requires some prior knowledge of quantitative finance/mathematics (and more time than stated in the syllabus :)).

This is an advanced course for people in quantitative finance field ONLY.

Thank you authors and I'm waiting for the new courses in quantitative finance with the level of sophistication not less than this one.

It requires a background in quantitative finance.

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interest rate models

I learned a lot.-Michael the description of this class is that its an easy introduction to interest rate models.

The class does not really provide many examples of how to calibrate interest rate models.

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stochastic calculus

Not being a financial graduate I found the learning curve very steep but it was very stimulating and enjoyable: the course not only taught me a lot about financial models relating to interest rates but also gave me some entry points into interesting mathematics (measure theory, martingales, stochastic calculus) Very challenging and rewarding course, the treatment of interest rates is of the level of a Master's degree in financial mathematics.

I would advise anyone attempting this course to get at least a little more exposure to stochastic calculus before attempting it even though it already provides a small crash course.

this is complete nonsense they should state it might be easy if you have a ph.d in stochastic calculus.

Linear algebra, stochastic calculus and the basic results of mathematical finance in continous time are necessary prerequisites in terms of theory.

It requires a good background in stochastic calculus and in mathematical analysis and also the knowledge of programming languages to perform advanced calculations.

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interest rates

traders, quants, portfolio managers) since it provides relevant techniques for measuring and managing interest rate risk and understanding interest rates derivatives space/markets.

well designed

and exercises are well designed to make you understand the matter.

wonderful very poor presentation Amazing course with a great exposé of each concept and extremely well designed assignments.

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quant finance

Content wise this course is excellent, quant finance enthusiasts would love this course.

Bigs thanks to Damir Filipovic and the team making this course possible!It would be great to have any other course on quant finance topic from Ecole Polytechnique.For those who want to take the course:Yes the content is superb and the course worth taking if you are into quant finance.

virtually impossible

While this may be what a team might be faced with in a large Ibank for the purpose of a student learning this for the first time its completely ridiculous as it renders the assignments virtually impossible for someone just trying to learn.

The videos for the class are virtually useless and the fact that there are zero fully worked examples and I mean zero makes it virtually impossible.

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worked examples

there are no worked examples explaining the concepts clearly.

This class could be made better if it provided proper fully worked examples of models like black derman toy, hull white, hjm and even current models.

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Careers

An overview of related careers and their average salaries in the US. Bars indicate income percentile.

Quant Interest Rate Rsk Analys $68k

Interest Rate Product Analyst $71k

Analyst, FX & Interest Rate Derivatives, Prime Brokerage $76k

Interest Rate Derivative Sales $77k

Associate Interest Rate Derivative Sales Manager $82k

Analyst - Interest Rate Risk Strategies $90k

Vice President Interest Rate Derivative Sales Manager $97k

Analyst, Trading & Interest Rate Risk $97k

Interest Rate Structuring and Sales $108k

Financial Analyst, Interest Rate Hedging Strategies Manager $133k

Product Manager - Business Intelligence, Interest Rate Risk $141k

Interest Rate Options Trader $152k

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Rating 4.1 based on 47 ratings
Length 7 weeks
Effort 5 weeks of study, 6 hours per week
Starts Nov 21 (7 days ago)
Cost $49
From École polytechnique fédérale de Lausanne via Coursera
Instructor Damir Filipović
Download Videos On all desktop and mobile devices
Language English
Subjects Business Mathematics
Tags Business Finance Math And Logic

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