New MOOC on Interest Rate Models

The course is primarily aimed at advanced graduates interested in quantitative finance, along with finance professionals with an interest in interest rate models. Students of this course will learn how to apply the basic tools duration and convexity for managing the interest rate risk of a bond portfolio. They will gain practice in estimating the term structure from market data. They will learn the basic facts from stochastic calculus that will enable them to engineer a large variety of stochastic interest rate models. The course also reviews the arbitrage pricing theorem that provides the foundation for pricing financial derivatives. It also covers the industry standard Black and Bachelier formulas for pricing caps, floors, and swaptions. At the end of this course students will know how to calibrate an interest rate model to market data and how to price interest rate derivatives.