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.
- 5 stars76.02%
- 4 stars11.69%
- 3 stars4.67%
- 2 stars2.33%
- 1 star5.26%
來自INTEREST RATE MODELS的熱門評論
Very difficult course. It took me a lot of time. It requires a background in quantitative finance.
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
Very interesting course. Would be great if there is a second part of this course about modern pricing with OIS swap, collateral ...
I wish there is a course on credit risk in a similar fashion.