Fixed Income and Interest-Rate Models
Study bond pricing, yield curves, interest-rate risk and no-arbitrage term-structure models.
Why study Fixed Income and Interest-Rate Models?
A bond portfolio is exposed to changes across an entire yield curve. Learn to connect cash-flow valuation and rate sensitivity to models of how rates evolve, with attention to what the model can actually explain.
Who this is for
For pricing and risk learners with market conventions, probability and numerical methods; advanced modelling also draws on stochastic calculus.
What you should be able to do
- Relate bond prices, yields, duration and convexity.
- Study spot and forward curves and rate derivatives.
- Compare short-rate and term-structure modelling approaches.
An example of the work this prepares you for
A curve-based valuation and hedge comparison that explains the impact of different rate scenarios and modelling choices.
Prerequisites and suggested preparation
You should be comfortable with the background covered in these programmes. Equivalent knowledge from university study or independent learning is also suitable.
- Financial Instruments, Markets and Conventions
- Probability, Statistics and Financial Data
- Linear Algebra, Optimisation and Numerical Methods
The goal is to use the foundations in context: explain the assumptions, carry out a calculation and interpret the result. If one of those steps feels unfamiliar, review the linked preparation first.
A preview of the learning journey
The lessons build towards these kinds of reasoning and practical work.
Read the curve
Explain how discount factors and forward rates affect cash flows.
Measure rate exposure
Connect a price change to the shape and scale of a rate move.
Assess a rates model
Compare the model’s fit, sensitivities and assumptions.
Members work through the detailed lessons, derivations, worked examples and solutions inside the learning dashboard.
Explore lesson previews by topic
Open a topic preview to see its introduction, learning objectives and prerequisites. Previous and next links let you explore the lessons in study order. Full lessons are available in the member dashboard; selected samples are free to read in full.
Free resources to start learning
Use these alongside the programme or to prepare independently. Start with the introductory material, work through an example, then return to the research papers when the underlying ideas are familiar.
Foundations of Financial Engineering
Columbia · Martin Haugh
Study the term-structure notes after reviewing forwards and swaps.
Finance Theory I: lecture videos
MIT OpenCourseWare · Andrew Lo
Watch the fixed-income lectures before moving to stochastic rates.
QuantLib
QuantLib contributors
Explore curve and instrument modelling as a practical reference.
Bilateral counterparty risk valuation for interest-rate products
Damiano Brigo, Andrea Pallavicini and Vasileios Papatheodorou
Advanced reading on how rates dynamics interact with bilateral counterparty valuation.
Optional textbook reference
These books are paid references. Check your university or public library for access.
Options, Futures, and Other Derivatives
John C. Hull · Pearson
Optional textbook reference for rate derivatives and conventions.
Links reviewed 14 October 2026. Free refers to the linked reading, notes or videos; printed books and certificates may cost extra.
Find more papers and learning materials in the SelfMadeQuant Directory.
Where this programme fits
- Derivatives Pricing and Model Quant · required programme
- Risk and Model Validation Quant · required programme
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