About this Course
최근 조회 18,678

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지금 바로 시작해 나만의 일정에 따라 학습을 진행하세요.

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일정에 따라 마감일을 재설정합니다.

고급 단계

완료하는 데 약 43시간 필요

권장: 5 weeks of study, 6 hours per week...

영어

자막: 영어

귀하가 습득할 기술

CalibrationStochastic CalculusYield CurveInterest Rate Derivative

100% 온라인

지금 바로 시작해 나만의 일정에 따라 학습을 진행하세요.

유동적 마감일

일정에 따라 마감일을 재설정합니다.

고급 단계

완료하는 데 약 43시간 필요

권장: 5 weeks of study, 6 hours per week...

영어

자막: 영어

강의 계획 - 이 강좌에서 배울 내용

1
완료하는 데 1시간 필요

Introduction

...
1 video (Total 5 min), 5 readings
1개의 동영상
5개의 읽기 자료
Evaluation10m
Certificate10m
Course discussions10m
Where to get help10m
Do you like our course?10m
2
완료하는 데 8시간 필요

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.

...
5 videos (Total 55 min), 2 readings, 6 quizzes
5개의 동영상
Duration and Convexity9m
Market Conventions5m
2개의 읽기 자료
Compounded Interest Rates10m
Continuously Compounded Forward Rate (Forward Yield)10m
6개 연습문제
Interest Rates and Discount Bonds1시 20분
Forward and Futures Rates1시 10분
Coupon Bonds and Interest Rate Swaps1h
Duration and Convexity50m
Market Conventions30m
Interest Rates and Related Contracts2시 10분
3
완료하는 데 5시간 필요

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.

...
4 videos (Total 56 min), 5 quizzes
4개의 동영상
Principal Component Analysis11m
5개 연습문제
Bootstrapping Example30m
Exact Methods30m
Smoothing Methods40m
Principal Component Analysis30m
Estimating the Term Structure2h
4
완료하는 데 6시간 필요

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.

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4 videos (Total 76 min), 1 reading, 5 quizzes
4개의 동영상
Forward Measures23m
1개의 읽기 자료
Definition of Brownian Motion without Filtration10m
5개 연습문제
Stochastic Calculus1시 30분
Short Rate Models1시 10분
Heath-Jarrow-Morton Framework40m
Forward Measures40m
Stochastic Models1h
4.6
27개의 리뷰Chevron Right

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50%

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Interest Rate Models의 최상위 리뷰

대학: PVMay 27th 2019

This course is very good in regaining your knowledge in Interest Rate model. However, the exchange is that you have to spend time with it. But believe me it is worth your time spending

대학: 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

강사

Avatar

Damir Filipović

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

로잔연방공과대학교 정보

자주 묻는 질문

  • 강좌에 등록하면 바로 모든 비디오, 테스트 및 프로그래밍 과제(해당하는 경우)에 접근할 수 있습니다. 상호 첨삭 과제는 이 세션이 시작된 경우에만 제출하고 검토할 수 있습니다. 강좌를 구매하지 않고 살펴보기만 하면 특정 과제에 접근하지 못할 수 있습니다.

  • 수료증을 구매하면 성적 평가 과제를 포함한 모든 강좌 자료에 접근할 수 있습니다. 강좌를 완료하면 전자 수료증이 성취도 페이지에 추가되며, 해당 페이지에서 수료증을 인쇄하거나 LinkedIn 프로필에 수료증을 추가할 수 있습니다. 강좌 콘텐츠만 읽고 살펴보려면 해당 강좌를 무료로 청강할 수 있습니다.

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