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Pricing Options with Mathematical Models

Introduction to the Black-Scholes-Merton model and other mathematical models for pricing financial derivatives and hedging risk in financial markets.

Cost: Free

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Overview

Description

About this Course This is an introductory course on options and other financial derivatives, and their applications to risk management. We will start with discrete-time, binomial trees models, but most of the course will be in the framework of continuous-time, Brownian Motion driven models. A basic introduction to Stochastic, Ito Calculus will be given. The benchmark model will be the Black-Scholes-Merton pricing model, but we will also discuss more general models, such as stochastic volatility models. We will discuss both the Partial Differential Equations approach, and the probabilistic, martingale approach. We will also cover an introduction to modeling of interest rates and fixed income derivatives. I teach the same class at Caltech, as an advanced undergraduate class. This means that the class may be challenging, and demand serious effort. On the other hand, successful completion of the class will provide you with a full understanding of the standard option pricing models, and will enable you to study the subject further on your own, or otherwise.

Details

  • Days of the Week: Monday, Tuesday, Wednesday, Thursday, Friday, Saturday, Sunday
  • Level of Difficulty: Beginner
  • Size: Massive Open Online Course
  • Instructor: Jaksa Cvitanic
  • Cost: Free
  • Institution: EdX

Provider Overview

About EdX: EdX offers interactive online classes and MOOCs from the world’s best universities. Topics include biology, business, chemistry, computer science, economics, finance, electronics, engineering, food and nutrition, history, humanities, law, literature, math, medicine, music, philosophy, physics, science, statistics and more. EdX is a non-profit online initiative created by founding partners Harvard and MIT.

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