Interest Rate Models
- Offered byCoursera
Interest Rate Models at Coursera Overview
Duration | 30 hours |
Total fee | Free |
Mode of learning | Online |
Difficulty level | Advanced |
Official Website | Explore Free Course  |
Credential | Certificate |
Interest Rate Models at Coursera Highlights
- 25% started a new career after completing these courses.
- Earn a shareable certificate upon completion.
- Flexible deadlines according to your schedule.
Interest Rate Models at Coursera Course details
- 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.
Interest Rate Models at Coursera Curriculum
Introduction
Introduction
Evaluation
Certificate
Course discussions
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Interest Rates and Related Contracts
Interest Rates and Discount Bonds
Forward and Futures Rates
Coupon Bonds and Interest Rate Swaps
Duration and Convexity
Market Conventions
Compounded Interest Rates
Continuously Compounded Forward Rate (Forward Yield)
Interest Rates and Discount Bonds
Forward and Futures Rates
Coupon Bonds and Interest Rate Swaps
Duration and Convexity
Market Conventions
Interest Rates and Related Contracts
Estimating the Term Structure
Bootstrapping Example
Exact Methods
Smoothing Methods
Principal Component Analysis
Bootstrapping Example
Exact Methods
Smoothing Methods
Principal Component Analysis
Estimating the Term Structure
Stochastic Models
Stochastic Calculus
Short Rate Models
Heath-Jarrow-Morton Framework
Forward Measures
Definition of Brownian Motion without Filtration
Stochastic Calculus
Short Rate Models
Heath-Jarrow-Morton Framework
Forward Measures
Stochastic Models
Interest Rate Derivatives
Interest Rate Futures and Convexity Adjustment
Caps and Floors
Swaptions
Calibration Example
Interest Rate Futures and Convexity Adjustment
Caps and Floors
Swaptions
Calibration Example
Interest Rate Derivatives
Final Quiz
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Final quiz
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