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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.

Taught by

Damir Filipović
Cost Free Online Course (Audit)
Pace Upcoming
Subject Finance
Provider Coursera
Language English
Certificates Paid Certificate Available
Calendar 6 weeks long
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Review for Coursera's Interest Rate Models
1.0 Based on 1 reviews

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1.0 2 months ago
by Richard Van Egas dropped this course, spending 20 hours a week on it and found the course difficulty to be very hard.
Well, where to start with??

The class contents and lecture slides will not help you to answer the practice quizzes. The practice quizzes do not have a guide telling you what should you do?

From the above, the actual graded quiz is a non sense . None of the material covered by you , it is useful to work the questions.....No numerical examples to apply to the real quiz

one of the videos or lecture slides has the word "SAWTOOTHS" an unforgiveable grammar error coming from 2 goofballs with PhD degrees....They are not familiar with sawteeth

they did not even bother to follow IMF methodology (teaching methodology)

The math is tedious, ambiguous and going to nowhere ....Have these dullards ever studied data driven models, kludges or macgyverisms?

Last but not least, though the course is entitled interest rate models .....Only 3 or 4 models are studied with no affidavit or legal evidence to support their popularity…
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