About this Course
4.6
78 ratings
23 reviews
100% online

100% online

Start instantly and learn at your own schedule.
Flexible deadlines

Flexible deadlines

Reset deadlines in accordance to your schedule.
Advanced Level

Advanced Level

Hours to complete

Approx. 43 hours to complete

Suggested: 5 weeks of study, 6 hours per week...
Available languages

English

Subtitles: English...

Skills you will gain

CalibrationStochastic CalculusYield CurveInterest Rate Derivative
100% online

100% online

Start instantly and learn at your own schedule.
Flexible deadlines

Flexible deadlines

Reset deadlines in accordance to your schedule.
Advanced Level

Advanced Level

Hours to complete

Approx. 43 hours to complete

Suggested: 5 weeks of study, 6 hours per week...
Available languages

English

Subtitles: English...

Syllabus - What you will learn from this course

Week
1
Hours to complete
1 hour to complete

Introduction

...
Reading
1 video (Total 5 min), 5 readings
Video1 video
Reading5 readings
Evaluation10m
Certificate10m
Course discussions10m
Where to get help10m
Do you like our course?10m
Week
2
Hours to complete
8 hours to complete

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. ...
Reading
5 videos (Total 55 min), 2 readings, 6 quizzes
Video5 videos
Forward and Futures Rates14m
Coupon Bonds and Interest Rate Swaps12m
Duration and Convexity9m
Market Conventions5m
Reading2 readings
Compounded Interest Rates10m
Continuously Compounded Forward Rate (Forward Yield)10m
Quiz6 practice exercises
Interest Rates and Discount Bonds20m
Forward and Futures Rates10m
Coupon Bonds and Interest Rate Swapsm
Duration and Convexity50m
Market Conventions30m
Interest Rates and Related Contracts10m
Week
3
Hours to complete
5 hours to complete

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....
Reading
4 videos (Total 56 min), 5 quizzes
Video4 videos
Exact Methods19m
Smoothing Methods13m
Principal Component Analysis11m
Quiz5 practice exercises
Bootstrapping Example30m
Exact Methods30m
Smoothing Methods40m
Principal Component Analysis30m
Estimating the Term Structurem
Week
4
Hours to complete
6 hours to complete

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....
Reading
4 videos (Total 76 min), 1 reading, 5 quizzes
Video4 videos
Short Rate Models20m
Heath-Jarrow-Morton Framework10m
Forward Measures23m
Reading1 reading
Definition of Brownian Motion without Filtration10m
Quiz5 practice exercises
Stochastic Calculus30m
Short Rate Models10m
Heath-Jarrow-Morton Framework40m
Forward Measures40m
Stochastic Modelsm
4.6
Career Benefit

83%

got a tangible career benefit from this course

Top Reviews

By 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

By SBAug 23rd 2017

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

Instructor

Avatar

Damir Filipović

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

About École Polytechnique Fédérale de Lausanne

Frequently Asked Questions

  • Once you enroll for a Certificate, you’ll have access to all videos, quizzes, and programming assignments (if applicable). Peer review assignments can only be submitted and reviewed once your session has begun. If you choose to explore the course without purchasing, you may not be able to access certain assignments.

  • When you purchase a Certificate you get access to all course materials, including graded assignments. Upon completing the course, your electronic Certificate will be added to your Accomplishments page - from there, you can print your Certificate or add it to your LinkedIn profile. If you only want to read and view the course content, you can audit the course for free.

More questions? Visit the Learner Help Center.