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.
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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. One of the two Swiss Federal Institutes of Technology, the school was founded by the Swiss Federal Government with the stated mission to:. Educate engineers and scientists to the highest international standing Be a national center of excellence in science and technology Provide a hub for interaction between the scientific community and the industry EPFL is considered one of the most prestigious universities in the world for engineering and sciences, ranking 17th overall and 10th in engineering in the QS World University Rankings; 34th overall and 12th in engineering in the Times Higher Education World University Rankings.
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Very challenging and rewarding course, the treatment of interest rates is of the level of a Master's degree in financial mathematics.
Interest Rate Models: An Introduction
I would advise anyone attempting this course to get at least a little more exposure to stochastic calculus before attempting it even though it already provides a small crash course. Great course! Lectures have a marked mathematical facet it's a financial mathematics course, after all! Very interesting and engaging course. It covers relevant topics in fixed income derivatives. Also not possible to pass without some programming skills. What I didn't like is that instructor didn't provide economic intuition behind math formulas and models but rather presented them from a purely mathematical perspective.
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Very engaging materials and it is a difficult course!! Background in linear algebra, stochastic calculus and computer programming is recommended.
Great course and I learned a lot from it, much more than I initially anticipated. The staff is very supportive and gives right advise when there is a need. Would like to see more intuitive explanations along with the mathematical derivations. Not an easy course but really worth to take it to the end. Professional Development. Starting from cash flow valuation with state price deflators, we derive the equivalent martingale measures for pricing financial instruments. The lecture is supplemented by several examples such as the Vasicek model, the Heath-Jarrow-Morton framework and the consistent re-calibration approach.
An Elementary Introduction to Stochastic Interest Rate Modeling - Nicolas Privault - Google книги
Objective The students are familiar with the basic terminology of stochastic interest rate modeling and they are able to transfer their financial mathematical knowledge to real world pricing of cash flows and financial instruments. Content The following topics are covered: 1 stochastic discounting with state price deflators 2 equivalent martingale measures 3 pricing of cash flows and primary assets 4 pricing of derivatives, e.
Consistent re-calibration in yield curve modeling: an example. Ships in 15 business days. Link Either by signing into your account or linking your membership details before your order is placed. Description Table of Contents Product Details Click on the cover image above to read some pages of this book! Industry Reviews "This book provides an excellent introduction to the field of interest-rate modeling for readers at the graduate level with a background in mathematics. Preface ixAcknowledgements xiii1. Introduction to Bond Markets Arbitrage-Free Pricing Discrete-Time Binomial Models Continuous-Time Interest Rate Models No-Arbitrage Models Multifactor Models The Forward-Measure Approach Positive Interest Market Models More Books in Finance See All.
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