課程信息
4.6
88 個評分
24 個審閱

100% 在線

立即開始,按照自己的計劃學習。

可靈活調整截止日期

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高級

完成時間大約為43 小時

建議:5 weeks of study, 6 hours per week...

英語(English)

字幕:英語(English)

您將獲得的技能

CalibrationStochastic CalculusYield CurveInterest Rate Derivative

100% 在線

立即開始,按照自己的計劃學習。

可靈活調整截止日期

根據您的日程表重置截止日期。

高級

完成時間大約為43 小時

建議:5 weeks of study, 6 hours per week...

英語(English)

字幕:英語(English)

教學大綱 - 您將從這門課程中學到什麼

1
完成時間為 1 小時

Introduction

...
1 個視頻 (總計 5 分鐘), 5 個閱讀材料
1 個視頻
5 個閱讀材料
Evaluation10分鐘
Certificate10分鐘
Course discussions10分鐘
Where to get help10分鐘
Do you like our course?10分鐘
2
完成時間為 8 小時

Interest Rates and Related Contracts

We learn various notions of interest rates and some related contracts. Interest is the rent paid on a loan. A bond is the securitized form of a loan. There exist coupon paying bonds and zero-coupon bonds. The latter are also called discount bonds. Interest rates and bond prices depend on their maturity. The term structure is the function that maps the maturity to the corresponding interest rate or bond price. An important reference rate for many interest rate contracts is the LIBOR (London Interbank Offered Rate). Loans can be borrowed over future time intervals at rates that are agreed upon today. These rates are called forward or futures rates, depending on the type of the agreement. In an interest rate swap, counterparties exchange a stream of fixed-rate payments for a stream of floating-rate payments typically indexed to LIBOR. Duration and convexity are the basic tools for managing the interest rate risk inherent in a bond portfolio. We also review some of the most common market conventions that come along with interest rate market data. ...
5 個視頻 (總計 55 分鐘), 2 個閱讀材料, 6 個測驗
5 個視頻
Forward and Futures Rates14分鐘
Coupon Bonds and Interest Rate Swaps12分鐘
Duration and Convexity9分鐘
Market Conventions5分鐘
2 個閱讀材料
Compounded Interest Rates10分鐘
Continuously Compounded Forward Rate (Forward Yield)10分鐘
6 個練習
Interest Rates and Discount Bonds20分鐘
Forward and Futures Rates10分鐘
Coupon Bonds and Interest Rate Swaps
Duration and Convexity50分鐘
Market Conventions30分鐘
Interest Rates and Related Contracts10分鐘
3
完成時間為 5 小時

Estimating the Term Structure

We learn how to estimate the term structure from market data. There are two types of methods. Exact methods produce term structures that exactly match the market data. This comes at the cost of somewhat irregular shapes. Smooth methods penalize irregular shapes and trade off exactness of fit versus regularity of the term structure. We will also see what principal component analysis tells us about the basic shapes of the term structure....
4 個視頻 (總計 56 分鐘), 5 個測驗
4 個視頻
Exact Methods19分鐘
Smoothing Methods13分鐘
Principal Component Analysis11分鐘
5 個練習
Bootstrapping Example30分鐘
Exact Methods30分鐘
Smoothing Methods40分鐘
Principal Component Analysis30分鐘
Estimating the Term Structure
4
完成時間為 6 小時

Stochastic Models

Models for the evolution of the term structure of interest rates build on stochastic calculus. We start with a crash course in stochastic calculus, which introduces Brownian motion, stochastic integration, and stochastic processes without going into mathematical details. This provides the necessary tools to engineer a large variety of stochastic interest rate models. We then study some of the most prevalent so-called short rate models and Heath-Jarrow-Morton models. We also review the arbitrage pricing theorem from finance that provides the foundation for pricing financial derivatives. As an application we price options on bonds....
4 個視頻 (總計 76 分鐘), 1 個閱讀材料, 5 個測驗
4 個視頻
Short Rate Models20分鐘
Heath-Jarrow-Morton Framework10分鐘
Forward Measures23分鐘
1 個閱讀材料
Definition of Brownian Motion without Filtration10分鐘
5 個練習
Stochastic Calculus30分鐘
Short Rate Models10分鐘
Heath-Jarrow-Morton Framework40分鐘
Forward Measures40分鐘
Stochastic Models
4.6
24 個審閱Chevron Right

50%

完成這些課程後已開始新的職業生涯

50%

通過此課程獲得實實在在的工作福利

熱門審閱

創建者 MBJan 31st 2017

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

創建者 SBAug 23rd 2017

Very helpful course to revisit my daily work covering curves, derivative pricing.

講師

Avatar

Damir Filipović

EPFL
The Swissquote Chair in Quantitative Finance and Swiss Finance Institute Professor

關於 洛桑联邦理工学院

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