Foundations of Interest Rate Models and Debt Markets

Interest rates drive the global financial system, shaping everything from corporate debt to complex derivative markets. Understanding how these rates are modeled, priced, and managed is essential for anyone entering quantitative finance, risk management, or banking. This text-based course guides you from foundational interest rate concepts to the mathematical models used to price complex financial contracts. You will develop a strong conceptual framework for analyzing debt instruments, constructing yield curves, and managing portfolio risk against market fluctuations. What you'll learn: - Understand foundational interest rate concepts, compounding conventions, and the structure of debt portfolios. - Calculate duration and convexity to effectively manage interest rate risk in bond portfolios. - Analyze key interest rate derivatives including swaps, forward rate agreements, futures, caps, floors, and swaptions. - Construct and estimate the term structure of interest rates using market data. - Navigate the modern transition from legacy benchmark rates like LIBOR to overnight risk-free rates such as SOFR. - Explore the basic stochastic calculus concepts that underpin advanced interest rate modeling. The course starts with basic terminology and debt mechanics before moving systematically through yield curve construction, risk management tools, derivative pricing, and modern modeling frameworks. Designed for beginners in finance, economics, or quantitative analysis, this course requires no prior experience in advanced financial engineering. Start building your financial modeling foundations today.