**Are you an EPFL student looking for a semester project?**

Work with us on data science and visualisation projects, and deploy your project as an app on top of Graph Search.

MOOC# Interest Rate Models

Description

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.

Official source

This page is automatically generated and may contain information that is not correct, complete, up-to-date, or relevant to your search query. The same applies to every other page on this website. Please make sure to verify the information with EPFL's official sources.

Instructor

Related courses (21)

MGT-482: Principles of finance

The course provides a market-oriented framework for analyzing the major financial decisions made by firms. It provides an introduction to valuation techniques, investment decisions, asset valuation, f

FIN-401: Introduction to finance

The course provides a market-oriented framework for analyzing the major financial decisions made by firms. It provides an introduction to valuation techniques, investment decisions, asset valuation, f

FIN-416: Interest rate and credit risk models

This course gives an introduction to the modeling of interest rates and credit risk. Such models are used for the valuation of interest rate securities with and without credit risk, the management and

Related publications (186)

Related concepts (79)

Lectures in this MOOC (18)

Interest rate derivative

In finance, an interest rate derivative (IRD) is a derivative whose payments are determined through calculation techniques where the underlying benchmark product is an interest rate, or set of different interest rates. There are a multitude of different interest rate indices that can be used in this definition. IRDs are popular with all financial market participants given the need for almost any area of finance to either hedge or speculate on the movement of interest rates.

Interest rate

An interest rate is the amount of interest due per period, as a proportion of the amount lent, deposited, or borrowed (called the principal sum). The total interest on an amount lent or borrowed depends on the principal sum, the interest rate, the compounding frequency, and the length of time over which it is lent, deposited, or borrowed. The annual interest rate is the rate over a period of one year. Other interest rates apply over different periods, such as a month or a day, but they are usually annualized.

Short-rate model

A short-rate model, in the context of interest rate derivatives, is a mathematical model that describes the future evolution of interest rates by describing the future evolution of the short rate, usually written . Under a short rate model, the stochastic state variable is taken to be the instantaneous spot rate. The short rate, , then, is the (continuously compounded, annualized) interest rate at which an entity can borrow money for an infinitesimally short period of time from time .

Negative interest rate regimes typically involve reserve tiering to exempt a portion of bank reserves from negative rates. We study the effects on bank behavior of a large and unanticipated change in reserve tiering by the Swiss National Bank that generate ...

2024Interest Rate Models: IntroductionMOOC: Interest Rate Models

Covers the fundamentals of interest rates and stochastic models in finance.

Interest Rates and BondsMOOC: Interest Rate Models

Explores interest rates, bonds, yield curves, and factors influencing interest rates in reality.

Interest Rates and Contracts: Forward & Futures RatesMOOC: Interest Rate Models

Explains FRAs, interest rate futures, payoff valuation, and Eurodollar futures.

Coupon Bonds and SwapsMOOC: Interest Rate Models

Explores fixed coupon bonds, floating rate notes, interest rate swaps, pricing models, and market structures.

Interest Rates and Contracts: Duration and ConvexityMOOC: Interest Rate Models

Explores duration and convexity in interest rate models for bond portfolio hedging.

Throughout history, the pace of knowledge and information sharing has evolved into an unthinkable speed and media. At the end of the XVII century, in Europe, the ideas that would shape the "Age of Enlightenment" were slowly being developed in coffeehouses, ...

We analyze and implement the kernel ridge regression (KR) method developed in Filipovic et al. (Stripping the discount curve-a robust machine learning approach. Swiss Finance Institute Research Paper No. 22-24. SSRN. https://ssrn.com/abstract=4058150, 2022 ...