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....

May 27, 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

Oct 01, 2019

Very interesting course. Would be great if there is a second part of this course about modern pricing with OIS swap, collateral ...

필터링 기준:

교육 기관: Md N A

•Apr 09, 2017

Content wise this course is excellent, quant finance enthusiasts would love this course. Truth be told this is an insanely difficult MOOC to pass/complete, not because its hard, lets face it, the contents are very advanced and its assumed that students would have background in advanced finance, but the problem lies in the fact that the professor does not explain the topics well enough. The professor might be excellent in this field but simply can't explain well enough, he is mostly reading his notes/slides with a few drawings. Second problem is the notations used in the course is extremely confusing, it makes maths look scary. This could have been a the best MOOC on Coursera but the professor's explanation is simply not upto the mark.

교육 기관: Eric D B

•Nov 15, 2017

Doing this course takes longer than stated and needs constant research to understand what is missing in the classes lectures. Some problems are the assumption of finance jargon is known and pricing formulas are given without fully explaining its origins stating its simple algebra.

교육 기관: Fabio

•Feb 23, 2018

Great course! If you have not deep economic/financial background (f.i., I am an engineer) you should not rely too much to the expected time required to complete the week assignment, especially weeks 4 and 5. Lectures have a marked mathematical facet (it's a financial mathematics course, after all!) and exercises are well designed to make you understand the matter. The final exam stays in ~200 lines of Matlab (comments included), so if you are committed you will succeed.

교육 기관: Robert G

•Jan 16, 2018

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.

교육 기관: Sungjoon B

•Aug 23, 2017

Very helpful course to revisit my daily work covering curves, derivative pricing.

교육 기관: Andrea B

•Mar 14, 2020

This course covers a number of interesting topics in the field of interest rate modeling. It requires a good background in stochastic calculus and in mathematical analysis and also the knowledge of programming languages to perform advanced calculations. I recommend Python or more powerful languages, because a high degree of precision is needed to solve some exercises, mainly in the part dedicated to calibration and in the final quiz.

I would have preferred a deeper exposure of the mathematical derivation for some pivotal results such as Black’s and Bachelier's formulas for Caplets and Floorlets.

Definitely a recommended course, but not for beginners.

교육 기관: Jiaxin Y

•Mar 12, 2017

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.

교육 기관: gowtham

•Jun 20, 2017

very poor presentation

교육 기관: Felix C

•Jul 02, 2020

An excellent course, the material presented is quite advanced for a MOOC. Short, austere videos and slides that are very rich in content despite their rather compact presentation. Do not be fooled by the description - this is far from an "easy" introduction to the subject matter. Linear algebra, stochastic calculus and the basic results of mathematical finance in continous time are necessary prerequisites in terms of theory. Basic programming skills with any language such as Python or R are also indispensable for the exercises, which require a lot of time to be completed succesfully. Time commitment to the course grows greatly starting with Week 3, and by the final quiz it can feel quite overwhelming and frustrating due to the amount of material covered in each week and the high difficulty of some of the exercises. Still, it is quite doable (I finished a few days earlier than the schedule), but the effort required is not trivial. A good companion to the course is the book written by the Instructor, "Term-Structure Models", published by Springer.

교육 기관: Nail M

•May 11, 2020

5 stars for the great content. Learned a lot. Especially about curve bootstrap, HJM and calibration of HJM models. Bigs thanks to Damir Filipovic and the team making this course possible!

It would be great to have any other course on quant finance topic from Ecole Polytechnique.

For those who want to take the course:

Yes the content is superb and the course worth taking if you are into quant finance. Expect to work on the problems much more than the suggested time, even more if you want to understand the math behind. For example, I was already familiar with mathematics of risk neutral pricing and understood the change of measure technique. The latter I would put in prerequisites for the course, otherwise one will have to learn it from other sources while completing the course.

교육 기관: Tatsunari W

•Jul 17, 2017

This course has been quite challenging, which I really have enjoyed. I guess this course is a shorter and easier version of the real course the professor teaches at his own institution. It only covers about one third of his text book, but now I know I can finish the textbook by myself. I strongly recommend to future learners that they get his textbook. I learned more from examples given the textbook. Since there didn't seem many learners on this course, it was quite frustrating to find a little mistake that I was making, but I guess that understanding whether the mistakes are conceptual or computational is also an important part of financial engineering. Anyway, I hope he will offer more of courses like this on coursera.

교육 기관: Nikola P

•Jul 10, 2017

A really useful and practical course in Quantitative Finance, which really raises the bar in terms of difficulty but also the knowlegde gained is definitely there. I would recommend this course even to seasoned industry professionals (e.g. traders, quants, portfolio managers) since it provides relevant techniques for measuring and managing interest rate risk and understanding interest rates derivatives space/markets. On the other hand I do feel that with useful comments, provided by the Coursera community, this course can only become better, as time goes by.

교육 기관: Jerzy D

•Feb 06, 2018

Very interesting and engaging course. It covers relevant topics in fixed income derivatives. It's rather challenging and requires some prior knowledge of quantitative finance/mathematics (and more time than stated in the syllabus :)). 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.

교육 기관: Zixu Z

•May 03, 2020

This is one of the best online courses I have taken. It is a master level course if one actually make efforts to understand all the formulas instead of just plugging in numbers, and requires great commitment and time. Some quizzes require extreme carefulness and patience (the forum is very helpful!). However after completing the course one should be confident to explore more complicated interest rate models used in real work.

교육 기관: Duncan E

•May 18, 2018

An excellent course, well structured and clearly taught. The tests were very challenging but interesting. Not being a financial graduate I found the learning curve very steep but it was very stimulating and enjoyable: the course not only taught me a lot about financial models relating to interest rates but also gave me some entry points into interesting mathematics (measure theory, martingales, stochastic calculus)

교육 기관: Déodat V

•May 25, 2017

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".

교육 기관: Stefano E

•Apr 27, 2019

Interesting course, I learned a lot. Exercises a bit tedious sometimes and pass rate fairly high, given that 80% normally grants you the distinction in UK, not just a pass rate. Also ideally you would like the entire body of the exercise checked by the instructors, not just the final number, but I guess this would be too much for a Coursera course. Overall a very good course.

교육 기관: Sergey

•Feb 05, 2019

Great course to refresh interest rate finance theory and to learn something new as well. Topics are very relevant for real-world finance practice. Exercises are built to make you gain working knowledge of the material. Maybe a couple of additional (optional) videos with more detailed derivations of some pricing formulas would be a useful addition to the course.

교육 기관: Arnaud B

•Jun 22, 2020

Very demanding and useful course. I learnt a lot!! It's definitely the best class that can be found on the stochastic short rate models!!! Thank you very to you Professor Filipovic and to all the person involved!!

Just one word of caution: the announced necessary time to perform practice and graded tests are often underestimated.

교육 기관: Bouazza S

•Feb 28, 2018

Very challenging and rewarding course, the treatment of interest rates is of the level of a Master's degree in financial mathematics. 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.

교육 기관: Andrei D C F

•Sep 12, 2018

The sophisticated theory is being delivered in a very accurate and rigorous manner with references to market practice. Thank you authors and I'm waiting for the new courses in quantitative finance with the level of sophistication not less than this one.

교육 기관: Jason S

•Feb 05, 2017

This is a seriously challenging class, requiring some good preparation, but it is worth every minute. The course staff members are very helpful. The problems are challenging and they are well worth doing. Good luck!

교육 기관: Puttipon V

•May 27, 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

교육 기관: K S

•May 21, 2018

Difficult but interesting course. Only it took me more time than announced to complete it and perhaps additional materials (articles, link to thesis etc...) would be beneficial

교육 기관: Philippe T

•Oct 01, 2019

Very interesting course. Would be great if there is a second part of this course about modern pricing with OIS swap, collateral ...