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Kursteilnehmer-Bewertung und -Feedback für Interest Rate Models von École Polytechnique Fédérale de Lausanne

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111 Bewertungen
32 Bewertungen

Über den Kurs

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....

Top-Bewertungen

PV

May 27, 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

PT

Oct 01, 2019

Very interesting course. Would be great if there is a second part of this course about modern pricing with OIS swap, collateral ...

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26 - 31 von 31 Bewertungen für Interest Rate Models

von Qingqi S

Oct 15, 2018

It's good but the exercise is much hard

von Kai L

Jul 28, 2019

Excellent Classes. Quite Difficult.

von Yong H S

Apr 01, 2019

Great course!

von Saket B

Jun 25, 2017

wonderful

von Maria S B

Oct 11, 2019

This course was very interesting and a bit hard for me, specially those topics involving measure theory.

I'd like to thank to the course moderators and their helpfully advices.

von Jackie T

Jan 25, 2018

Very engaging materials and it is a difficult course!! Background in linear algebra, stochastic calculus and computer programming is recommended.