date_range Starts on September 4, 2019
event_note End date December 31, 2019
list 10 sequences
assignment Level : Advanced
chat_bubble_outline Language : English
card_giftcard 1120 points
Logo My Mooc Business

Top companies choose Edflex to build in-demand career skills.

Get started
Users' reviews
-
starstarstarstarstar

Key Information

credit_card Free access
verified_user Fee-based Certificate
timer 80 hours in total

About the content

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. You should have a working knowledge of basic calculus, statistics, and probability and be interested in the use of mathematical modeling. Please go to Unit 0 in the Course Outline to take the prerequisites assessment.

more_horiz Read more
more_horiz Read less
report_problem

Prerequisite

Working knowledge of calculus, statistics and probability, and interest in the use of mathematical modeling. Please go to Unit 0 in the Course Outline to take the prerequisites assessment.

dns

Syllabus

  • Option pricing and risk-hedging methods in the binomial tree and Black-Scholes-Merton models
  • Ability to price options and other financial derivatives in models beyond Black-Scholes-Merton
  • Interest rate models and the pricing of interest rate derivatives
  • Evaluate the economics and mathematics behind the financial models presented
record_voice_over

Instructors

Jaksa Cvitanic

store
assistant

Platform

Edx

Harvard University, the Massachusetts Institute of Technology, and the University of California, Berkeley, are just some of the schools that you have at your fingertips with EdX. Through massive open online courses (MOOCs) from the world's best universities, you can develop your knowledge in literature, math, history, food and nutrition, and more. These online classes are taught by highly-regarded experts in the field. If you take a class on computer science through Harvard, you may be taught by David J. Malan, a senior lecturer on computer science at Harvard University for the School of Engineering and Applied Sciences. But there's not just one professor - you have access to the entire teaching staff, allowing you to receive feedback on assignments straight from the experts. Pursue a Verified Certificate to document your achievements and use your coursework for job and school applications, promotions, and more. EdX also works with top universities to conduct research, allowing them to learn more about learning. Using their findings, edX is able to provide students with the best and most effective courses, constantly enhancing the student experience.

You are the designer of this MOOC?
What is your opinion on this resource ?
Content
0/5
Platform
0/5
Animation
0/5