Advanced Interest Rate Models and Derivatives
Master advanced interest rate modeling, stochastic calculus, and derivatives pricing for financial professionals.
Master advanced interest rate modeling, stochastic calculus, and derivatives pricing for financial professionals.
This comprehensive course on Interest Rate Models provides an in-depth exploration of interest rates and related financial instruments. Designed for advanced learners, it covers essential topics such as LIBOR, bonds, forward rate agreements, swaps, futures, caps, floors, and swaptions. The course delves into advanced concepts like duration and convexity for managing interest rate risk, and techniques for estimating the term structure from market data. Students will gain a strong foundation in stochastic calculus, enabling them to engineer various stochastic interest rate models. The curriculum includes the arbitrage pricing theorem, Black and Bachelier formulas, and practical applications in calibrating models to market data and pricing derivatives. With a mix of theoretical knowledge and practical skills, this course equips financial professionals with the tools to navigate complex interest rate markets and make informed decisions.
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پښتو, বাংলা, اردو, 3 more
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What you'll learn
Master the fundamentals of interest rates, bonds, and related financial contracts
Apply duration and convexity concepts for effective interest rate risk management
Estimate and analyze term structures using various mathematical methods
Develop a strong foundation in stochastic calculus for financial modeling
Engineer and implement stochastic interest rate models
Understand and apply the arbitrage pricing theorem in derivatives pricing
Skills you'll gain
This course includes:
1.6 Hours PreRecorded video
22 assignments
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FullTime access
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There are 6 modules in this course
This course provides a comprehensive exploration of interest rate models and their applications in financial markets. It begins with fundamental concepts of interest rates and related contracts, including LIBOR, bonds, and swaps. Students learn advanced techniques for managing interest rate risk using duration and convexity. The course then delves into methods for estimating the term structure from market data, including bootstrapping and smoothing techniques. A significant portion of the curriculum is dedicated to stochastic modeling, covering essential stochastic calculus, short rate models, and the Heath-Jarrow-Morton framework. The course culminates in practical applications, focusing on pricing interest rate derivatives such as futures, caps, floors, and swaptions, including the industry-standard Black and Bachelier formulas. Throughout, students gain hands-on experience in model calibration and derivative pricing, preparing them for real-world financial modeling challenges.
Introduction
Module 1 · 55 Minutes to complete
Interest Rates and Related Contracts
Module 2 · 8 Hours to complete
Estimating the Term Structure
Module 3 · 5 Hours to complete
Stochastic Models
Module 4 · 6 Hours to complete
Interest Rate Derivatives
Module 5 · 5 Hours to complete
Final Quiz
Module 6 · 4 Hours to complete
Fee Structure
Payment options
Financial Aid
Instructor
Swiss Finance Institute Professor
Damir Filipović holds the Swissquote Chair in Quantitative Finance and is Swiss Finance Institute Professor at the Ecole Polytechnique Fédérale de Lausanne (EPFL), Switzerland. Prior to this, he was head of the Vienna Institute of Finance and professor at the University of Vienna. He previously held the chair of financial and insurance mathematics at the University of Munich, and he was on the faculty of Princeton University. He received his Ph.D. in mathematics from ETH Zurich in 2000. Damir Filipović worked as a scientific consultant for the Swiss Federal Office of Private Insurance from 2003 to 2004. There he co-developed the Swiss Solvency Test, which defines the regulatory capital requirement for all Swiss based insurance companies and groups. He is on the editorial board of several academic journals. His research interests include the term structure of interest rates, credit and volatility risk, quantitative methods in risk management, and stochastic processes. His papers have been published in a variety of academic journals including the Journal of Finance, Journal of Financial Economics, Mathematical Finance, Finance and Stochastics, and the Annals of Applied Probability. He is the author of a textbook titled Term-Structure Models.
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