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Interest Rate Models に戻る

スイス連邦工科大学ローザンヌ校(École Polytechnique Fédérale de Lausanne) による Interest Rate Models の受講者のレビューおよびフィードバック



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 ...


Interest Rate Models: 26 - 42 / 42 レビュー

by 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

by 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 ...

by Michael B

Jan 31, 2017

Great course! Level of difficulty is about first or second year Ph.D. in economics/finance. I learned a lot.


by Mattia B

Dec 09, 2019

Very difficult course. It took me a lot of time. It requires a background in quantitative finance.

by Yu Z

Feb 27, 2017

Finally finished! It's quite difficult, but really learned a lot! Thank you!

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 Qingqi S

Oct 15, 2018

It's good but the exercise is much hard

by Kai L

Jul 28, 2019

Excellent Classes. Quite Difficult.

by Yong H S

Apr 01, 2019

Great course!

by Saket B

Jun 25, 2017


by Josh H

Apr 20, 2020

This course is very very difficult. The exercises take a lot of time to complete and there is limited support available in the forums. Also, if you are not comfortable with undergraduate mathematics and probability theory, you will probably not finish this course.

With that being said, I learned a lot from the lectures and managed to complete every quiz.

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 Maria 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 25, 2018

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

by Bikash S B S

Jul 25, 2020

The notations used are not clear. The instructor is not making the course as simpler as it's to be.

by Nont N

May 11, 2020

I've been a market risk manager for 10 years. All I can say is the this course deliver very poor explanation on concept and understanding. It mostly focus on the formula without any meaningful of the equation. Exam questions are mostly grinding through the number and remembering the formula. Don't waste your time if you want to understand the meaning of the math behind.