Interest Rate Models
$49
ENROLL NOWCourse Overview
What You'll Learn
- We will learn how to apply the basic tools duration and convexity for managing the interest rate risk of a bond portfolio.
- We will learn the basic facts from stochastic calculus that will enable you to engineer a large variety of stochastic interest rate models.
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.
Course FAQs
Is this an accredited online course?
Accreditation for 'Interest Rate Models' is determined by the provider, École Polytechnique Fédérale de Lausanne. For online college courses or degree programs, we strongly recommend you verify the accreditation status directly on the provider's website to ensure it meets your requirements.
Can this course be used for continuing education credits?
Many of the courses listed on our platform are suitable for professional continuing education. However, acceptance for credit varies by state and licensing board. Please confirm with your board and {course.provider} that this specific course qualifies.
How do I enroll in this online school program?
To enroll, click the 'ENROLL NOW' button on this page. You will be taken to the official page for 'Interest Rate Models' on the École Polytechnique Fédérale de Lausanne online class platform, where you can complete your registration.
