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Quantitative Finance From First Principles
Highest Rated
Rating: 4.9 out of 5(20 ratings)
215 students

Quantitative Finance From First Principles

Yield curves, XVA, model calibration
Highest Rated
Created byAlexis Levendis, PhD
Last updated 6/2025
English
English [Auto],

What you'll learn

  • Learn how to bootstrap a yield curve from traded market instruments (deposits, forward rate agreements and swaps)
  • Learn how to value nominal bonds and interest rate swaps
  • Learn how to simulate short rates and yield curves using the Hull-White model
  • Learn how to bootstrap a survival probability from credit default swaps
  • Learn how to simulate exposure profiles for an interest rate swap through time
  • Learn how to calculate the credit/debit valuation adjustment for an interest rate swap
  • Learn how to value a swaption using the Black-76 model
  • Learn how to calibrate the Hull-White model with constant mean-reversion speed and piecewise constant volatility to swaptions

Course content

3 sections • 10 lectures • 7h 4m total length

  • Interest rate basics25:47

    Develop a yield curve and bootstrap bond and swap curves from market quotes by mastering interest rate basics, compounding conventions, day counts, spot and forward rates, and discount factors.

  • Bond and swap market mechanics19:01

    Build a yield curve by exploring bond market mechanics, including nominal amount, coupon, yield to maturity, dirty and clean prices, bond quotes, and fixed and floating rate swaps.

  • Bond and swap valuation1:08:18

    Valuate bonds and swaps from first principles using Excel and Python, building discount factor curves, applying settlement lags, and bootstrapping forward rates through interpolation for fixed and floating legs.

  • Bond and swap curve construction1:05:24

    Build bond and swap curves with bootstrapping and least-squares optimization, using Saber rate and T-bills for the short end, and Excel and Python to derive discount and spot curves.

Requirements

  • Some mathematics and finance background will be beneficial, but not entirely necessary. The course focuses on practical implementation in Excel, which is a software that is relatively easy to pick up.

Description

The course, Quantitative Finance from First Principles, focuses on the practical implementation of topics that a quant uses in their day-to-day work.

The course begins with an in-depth exploration of yield curve construction and bootstrapping techniques. Students will learn how to derive zero-coupon curves from market instruments. These yield curves form the foundation for pricing a wide range of fixed income and derivative instruments.

The course then progresses to valuation adjustments (XVA), including Credit Valuation Adjustment (CVA) and Debit Valuation Adjustment (DVA). These are explored both conceptually and via numerical implementation, with an emphasis on Monte Carlo simulation.

Model calibration is the final core theme, where students will learn to calibrate the Hull-White model to market data.

Excel and Python are used to implement the models covered in the course, offering students hands-on experience with industry-standard tools. Excel is used for rapid prototyping, visualisation, and understanding the structure of financial calculations. Python, with its robust libraries such as NumPy and SciPy, has become an industry-standard tool. By working with both platforms, students develop a strong practical skill set that complements their theoretical knowledge and prepares them for real-world Quantitative Finance applications and model development.

Become a well-respected Quantitative Analyst today!

Who this course is for:

  • Students looking to break into the field of quantitative finance
  • Auditors
  • Experienced professionals looking for a career change
  • Senior management wanting more detail regarding model methodology
  • Quantitative analysts
  • Actuaries

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