Interest Rate Models

the description of this class is that its an easy introduction to interest rate models. this is complete nonsense they should state it might be easy if you have a ph.d in stochastic calculus. the lecture slides are ambiguous and totally confusing. there are no worked examples explaining the concepts clearly. the assignments particularly the ones requireing calibratiion of various term structure models are utterly ridiculous the main problem being dealing with large matrices and getting the daycounts right. While this may be what a team might be faced with in a large Ibank for the purpose of a student learning this for the first time its completely ridiculous as it renders the assignments virtually impossible for someone just trying to learn. The quizes and assignments would make it look like they could be done in a few hours. The reality is a single problem could take a week. The notation used in this class is a complete nightmare. The class does not really provide many examples of how to calibrate interest rate models. This class could be made better if it provided proper fully worked examples of models like black derman toy, hull white, hjm and even current models. While the class technically lasts about six weeks it might take over six months to get through it. I dont know how many people actually make it through to the end of this class but i would imagine it is a small percentage. The main book for the class very quickly goes off he deep end and becomes an incomprehensible nightmare with no worked examples. I would like to complete this class but I had to take a break due to the fact it takes over. The videos for the class are virtually useless and the fact that there are zero fully worked examples and I mean zero makes it virtually impossible. Even simple models are rendered virtually impossible due to the awful notation used.

An excellent course, the material presented is quite advanced for a MOOC. Short, austere videos and slides that are very rich in content despite their rather compact presentation. Do not be fooled by the description - this is far from an "easy" introduction to the subject matter. Linear algebra, stochastic calculus and the basic results of mathematical finance in continous time are necessary prerequisites in terms of theory. Basic programming skills with any language such as Python or R are also indispensable for the exercises, which require a lot of time to be completed succesfully.

Time commitment to the course grows greatly starting with Week 3, and by the final quiz it can feel quite overwhelming and frustrating due to the amount of material covered in each week and the high difficulty of some of the exercises. Still, it is quite doable (I finished a few days earlier than the schedule), but the effort required is not trivial. A good companion to the course is the book written by the Instructor, "Term-Structure Models", published by Springer.