Delve into the complex world of interest rates and related contracts with the "Interest Rate Models" course. This comprehensive offering from École Polytechnique Fédérale de Lausanne provides an easy introduction to interest rates and their applications in financial markets. Throughout the course, you'll explore a range of essential topics, including LIBOR, bonds, forward rate agreements, swaps, interest rate futures, caps, floors, and swaptions.
Furthermore, you'll gain practical insights into managing interest rate risk through tools such as duration and convexity. The course also covers estimating the term structure from market data and delves into stochastic calculus, enabling you to engineer various stochastic interest rate models. Additionally, you'll review the arbitrage pricing theorem and industry-standard formulas for pricing financial derivatives.
By the course's conclusion, you'll have the knowledge and skills to calibrate an interest rate model to market data and confidently price interest rate derivatives. If you're looking to enhance your expertise in interest rate models, this course is an essential resource for expanding your financial knowledge and capabilities.
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Explore the course modules including an introduction to interest rates, modeling the term structure, stochastic models, and pricing interest rate derivatives. Gain comprehensive knowledge and practical skills.
Get started with an introduction to interest rates and related contracts. Evaluate your understanding and engage in course discussions to enhance your learning experience. Discover where to seek assistance and provide valuable feedback.
Delve into interest rates, discount bonds, forward and futures rates, coupon bonds, interest rate swaps, duration, convexity, and market conventions. Gain insights into compounded interest rates and continuously compounded forward rates.
Estimate the term structure through bootstrapping, exact methods, smoothing methods, and principal component analysis. Develop a comprehensive understanding of estimating the term structure from market data.
Explore stochastic calculus, short rate models, the Heath-Jarrow-Morton framework, forward measures, and the definition of Brownian motion without filtration. Gain insights into engineering stochastic interest rate models.
Dive into interest rate futures and convexity adjustment, caps, floors, swaptions, and calibration examples. Acquire practical knowledge in pricing interest rate derivatives and adjusting for convexity.
Test your understanding with the final quiz, covering the comprehensive knowledge gained throughout the course. Evaluate your grasp of interest rate models and related concepts.
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