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

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28 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....



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


Jan 31, 2017

Great course! Level of difficulty is about first or second year Ph.D. in economics/finance. I learned a lot.\n\n-Michael

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26 - 27 von 27 Bewertungen für Interest Rate Models

von gowtham

Jun 20, 2017

very poor presentation

von Eric D B

Nov 15, 2017

Doing this course takes longer than stated and needs constant research to understand what is missing in the classes lectures. Some problems are the assumption of finance jargon is known and pricing formulas are given without fully explaining its origins stating its simple algebra.