Interest Rate Models (EPFL)
by Damir Filipovic · EPFL via Coursera
Damir Filipovic's EPFL course builds the arbitrage-free term structure from the ground up: curve bootstrapping, stochastic short-rate and forward-rate models, swaps, caps and swaptions, plus credit risk, with graded quantitative assignments. Assumes stochastic calculus and delivers the machinery — HJM, short-rate models, curve construction.
More resources on Fixed Income & Bonds
QuantLib – Open-Source Quantitative Finance Library
Home of QuantLib, the free open-source C++ library for quantitative finance with Python bindings. It implements yield-curve bootstrapping, interest-rate and equity derivative pricing, Monte Carlo and finite-difference engines, and market calendars, letting practitioners build and test production-grade pricing and risk models.
FINRA TRACE (Trade Reporting and Compliance Engine)
FINRA's mandatory reporting system for over-the-counter fixed income trades, covering corporate and agency bonds, Treasuries, and mortgage- and asset-backed securities. Its public data shows execution prices, yields and volumes, letting learners see how actively individual bonds and securitized deals trade.
Bond Ratings, Default Spreads and the Cost of Debt (Damodaran Data)
Aswath Damodaran's freely published mapping from interest-coverage ratios to synthetic credit ratings and the corresponding default spreads, refreshed annually. The standard way to price an unrated issuer's credit risk and back out a cost of debt.
The Handbook of Fixed Income Securities, 9th Edition
The field's reference bible, roughly 1,900 pages: Treasuries, corporates, municipals, mortgage- and asset-backed securities, term structure, credit analysis, portfolio strategy and derivatives, each chapter written by a specialist practitioner. Fabozzi covers instrument-by-instrument market structure and conventions, including securitised product post-crisis. I Used as a desk reference rather than read cover to cover.
Fixed Income Securities: Tools for Today's Markets, 4th Edition
The standard practitioner-quant text: arbitrage-free pricing, DV01 and key-rate durations, convexity, post-crisis OIS discounting and multi-curve construction, plus repo, swaps, futures and mortgages, worked through real market data. Requires comfort with calculus. The book that rates desks and quant candidates are actually told to read.
The U.S. Treasury Yield Curve: 1961 to the Present
The Federal Reserve Board staff paper documenting how its zero-coupon Treasury curve is fitted with the Nelson-Siegel-Svensson method, including instrument selection, estimation pitfalls and forward-rate extraction. Its parameter dataset is refreshed daily and used across academia. Teaches curve construction as it is actually done rather than as a textbook abstraction, and hands the reader a live, daily-updated dataset (federalreserve.gov/data/nominal-yield-curve.htm) to reproduce the work.