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Interest Rate Models

About this 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.

Interest Rate Models

About this 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…
Relevance - 93%
Accuracy - 96%
Clarity - 95%

95%

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https://tedsf.org

Edzai Conilias Zvobwo is passionate about empowering Africans through mathematics, problem-solving techniques and media. As such, he founded MathsGee. Through this organisation, he has helped create an ecosystem for disseminating information, training, and supporting STEM education to all African people. A maths evangelist who teaches mathematical thinking as a life skill, Edzai’s quest has seen him being named the SABC Ambassador for STEM; he has been invited to address Fortune 500 C-suite executives at the Mobile 360 North America; was nominated to represent Southern Africa at the inaugural United Nations Youth Skills Day in New York; was invited to be a contributor to the World Bank Group Youth Summit in 2016; has won the 2014 SADC Protocol on Gender and Development award for his contribution to women’s empowerment in education; and has partnered with local and global firms in STEM interventions.

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