Who is this class for: This course is primarily aimed at advanced graduates interested in quantitative finance, along with finance professionals with an interest in interest rate models. Prerequisites for this course: elementary probability theory and real calculus. To solve the quizzes, students also need a matrix-oriented scientific computing package such as Matlab or R.

Created by:  École Polytechnique Fédérale de Lausanne

  • Damir Filipović

    Taught by:  Damir Filipović, EPFL

    The Swissquote Chair in Quantitative Finance and Swiss Finance Institute Professor
Commitment5 weeks of study, 6 hours per week
How To PassPass all graded assignments to complete the course.
User Ratings
4.4 stars
Average User Rating 4.4See what learners said

How It Works

Each course is like an interactive textbook, featuring pre-recorded videos, quizzes and projects.

Help from Your Peers
Help from Your Peers

Connect with thousands of other learners and debate ideas, discuss course material, and get help mastering concepts.


Earn official recognition for your work, and share your success with friends, colleagues, and employers.

École Polytechnique Fédérale de Lausanne
Ratings and Reviews
Rated 4.4 out of 5 of 25 ratings


Amazing course with a great exposé of each concept and extremely well designed assignments. The contents are brilliant, really clear, the study materials are well designed. The assignments help to recognize blind spots in the understanding of the concepts and push to implement the contents. It is a really nice balance between knowledge and know-how. Also a really tough one but "pain will make it better".

Solid contents, also required solid graduate level mathematics. The instructor may consider providing more details in some of the derivations. It is a bit difficult to follow during some lectures.

Solid review of fundamental interest rate ide