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Learner Reviews & Feedback for Interest Rate Models by École Polytechnique Fédérale de Lausanne

4.5
stars
183 ratings

About the Course

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....

Top reviews

PV

May 26, 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

SD

Aug 28, 2020

Probably the most rigorous course on Coursera. Requires solid effort worthy of a graduate course. Kudos to the professors, TAs for putting together the assignments.

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51 - 65 of 65 Reviews for Interest Rate Models

By Edgar F P M

Nov 24, 2020

Un contenido de alto nivel en el tema y bastante enriquecedor.

By Cheung W C

Sep 19, 2019

I wish there is a course on credit risk in a similar fashion.

By David A

Mar 10, 2017

Solid review of fundamental interest rate ide

By Inti M

Jan 1, 2021

Challenging, but extremely worth the effort.

By Qingqi S

Oct 15, 2018

It's good but the exercise is much hard

By Jianing Z

Jan 16, 2022

It is a fantastic course. I love it.

By Kai L

Jul 28, 2019

Excellent Classes. Quite Difficult.

By Haizhou C

Feb 15, 2021

Difficult but worthwhile!

By Ben P

Jan 13, 2022

Totally worth it!

By Shawn Y

Apr 1, 2019

Great course!

By Saket B

Jun 25, 2017

wonderful

By Adithya S S

Apr 24, 2020

A very in-depth course that doesn't spoon-feed you anything. You'll have to work hard to pass all the graded assignments. I would give the course 5 stars if it provided with material that helps you reach the required levels with questions ranging from easy to hard rather than just dropping the best of questions at you.

By María S B

Oct 11, 2019

This course was very interesting and a bit hard for me, specially those topics involving measure theory.

I'd like to thank to the course moderators and their helpfully advices.

By Jackie T

Jan 24, 2018

Very engaging materials and it is a difficult course!! Background in linear algebra, stochastic calculus and computer programming is recommended.

By julien z

Feb 15, 2022

Great course. Be ready to do some integrals and coding.