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62 Bewertungen

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....

PV

26. Mai 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

SS

28. Aug. 2020

Probably the most rigorous course on Coursera. Requires solid effort worthy of a graduate course. Kudos to the professors, TAs for putting together the assignments.

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von Jiaxin Y

•12. März 2017

Solid contents, also required solid graduate level mathematics. The instructor may consider providing more details in some of the derivations. It is a bit difficult to follow during some lectures.

von Felix C

•2. Juli 2020

An excellent course, the material presented is quite advanced for a MOOC. Short, austere videos and slides that are very rich in content despite their rather compact presentation. Do not be fooled by the description - this is far from an "easy" introduction to the subject matter. Linear algebra, stochastic calculus and the basic results of mathematical finance in continous time are necessary prerequisites in terms of theory. 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. Time commitment to the course grows greatly starting with Week 3, and by the final quiz it can feel quite overwhelming and frustrating due to the amount of material covered in each week and the high difficulty of some of the exercises. Still, it is quite doable (I finished a few days earlier than the schedule), but the effort required is not trivial. A good companion to the course is the book written by the Instructor, "Term-Structure Models", published by Springer.

von Tatsunari W

•17. Juli 2017

This course has been quite challenging, which I really have enjoyed. I guess this course is a shorter and easier version of the real course the professor teaches at his own institution. It only covers about one third of his text book, but now I know I can finish the textbook by myself. I strongly recommend to future learners that they get his textbook. I learned more from examples given the textbook. Since there didn't seem many learners on this course, it was quite frustrating to find a little mistake that I was making, but I guess that understanding whether the mistakes are conceptual or computational is also an important part of financial engineering. Anyway, I hope he will offer more of courses like this on coursera.

von Nikola P

•10. Juli 2017

A really useful and practical course in Quantitative Finance, which really raises the bar in terms of difficulty but also the knowlegde gained is definitely there. I would recommend this course even to seasoned industry professionals (e.g. traders, quants, portfolio managers) since it provides relevant techniques for measuring and managing interest rate risk and understanding interest rates derivatives space/markets. On the other hand I do feel that with useful comments, provided by the Coursera community, this course can only become better, as time goes by.

von Zixu Z

•3. Mai 2020

This is one of the best online courses I have taken. It is a master level course if one actually make efforts to understand all the formulas instead of just plugging in numbers, and requires great commitment and time. Some quizzes require extreme carefulness and patience (the forum is very helpful!). However after completing the course one should be confident to explore more complicated interest rate models used in real work.

von Duncan E

•18. Mai 2018

An excellent course, well structured and clearly taught. The tests were very challenging but interesting. 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)

von Déodat V

•25. Mai 2017

Amazing course with a great exposé of each concept and extremely well designed assignments. The contents are brilliant, really clear, the study materials are well designed. The assignments help to recognize blind spots in the understanding of the concepts and push to implement the contents. It is a really nice balance between knowledge and know-how. Also a really tough one but "pain will make it better".

von Stefano E

•27. Apr. 2019

Interesting course, I learned a lot. Exercises a bit tedious sometimes and pass rate fairly high, given that 80% normally grants you the distinction in UK, not just a pass rate. Also ideally you would like the entire body of the exercise checked by the instructors, not just the final number, but I guess this would be too much for a Coursera course. Overall a very good course.

von Sergey N

•5. Feb. 2019

Great course to refresh interest rate finance theory and to learn something new as well. Topics are very relevant for real-world finance practice. Exercises are built to make you gain working knowledge of the material. Maybe a couple of additional (optional) videos with more detailed derivations of some pricing formulas would be a useful addition to the course.

von Christopher K

•13. Nov. 2020

Probably my favourite course thus far on Coursera! The instructor is a leading expert on the topic and did not hold back from mathematical rigour or challenging assignments. With the derivations and proofs of the results from the video lectures, this could potentially serve as the foundation for a semester-long graduate course on interest rate models.

von Hilmi E

•25. Nov. 2021

This is an excellent course.The delivery is precise and elegant; the practice and graded quizzes are non-trivial and complement the lectures. Those who are comfortable with calculus, linear algebra and a reasonable undersatnding of stochastic calculus and programming will benefit most from the course. Congratulations to Prof Filipovic and his team.

von Bouazza S

•27. Feb. 2018

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.

von Andrew D

•12. Sep. 2018

The sophisticated theory is being delivered in a very accurate and rigorous manner with references to market practice. Thank you authors and I'm waiting for the new courses in quantitative finance with the level of sophistication not less than this one.

von Jason S

•4. Feb. 2017

This is a seriously challenging class, requiring some good preparation, but it is worth every minute. The course staff members are very helpful. The problems are challenging and they are well worth doing. Good luck!

von K S

•21. Mai 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

von David A P C

•3. Dez. 2020

Me gusto mucho el curso, no es de nivel básico, hay que tener un conocimiento mínimo de algunos de los conceptos presentados para entender algunos quices y ejercicios.

von Guang C

•21. Mai 2022

The course is quite tough. But it is interesting to complete it. Thank you Porfessor Damir Filipovic!

von Mattia B

•9. Dez. 2019

Very difficult course. It took me a lot of time. It requires a background in quantitative finance.

von Luca B

•28. Jan. 2022

Difficult but worth it in my opinion if your interest lies on interest rate modelling.

von Yu Z

•27. Feb. 2017

Finally finished! It's quite difficult, but really learned a lot! Thank you!

von Bor R M

•25. Jan. 2021

The most difficult course in Coursera. Still, it is totally worth it.

von Marek F

•21. Dez. 2021

This course is a challenge. Very demanding. However you learn a lot.

von Francisco P M

•24. Nov. 2020

Un contenido de alto nivel en el tema y bastante enriquecedor.

von Cheung W C

•19. Sep. 2019

I wish there is a course on credit risk in a similar fashion.

von David A

•10. März 2017

Solid review of fundamental interest rate ide

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