This is an introductory course on options and other financial derivatives, and their applications to risk management. We will start with defining derivatives and options, continue with discrete-time, binomial tree models, and then develop continuous-time, Brownian Motion 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.
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ofrecido por
Pricing Options with Mathematical Models
Instituto de Tecnología de California (Caltech)Acerca de este Curso
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Fechas límite flexibles
Restablece las fechas límite en función de tus horarios.
Certificado para compartir
Obtén un certificado al finalizar
100 % en línea
Comienza de inmediato y aprende a tu propio ritmo.
Nivel intermedio
Prior experience with calculus based probability/statistics. Some exposure to stochastic processes and partial differential equations is helpful.
Aprox. 69 horas para completar
Inglés (English)
Subtítulos: Inglés (English)
Fechas límite flexibles
Restablece las fechas límite en función de tus horarios.
Certificado para compartir
Obtén un certificado al finalizar
100 % en línea
Comienza de inmediato y aprende a tu propio ritmo.
Nivel intermedio
Prior experience with calculus based probability/statistics. Some exposure to stochastic processes and partial differential equations is helpful.
Aprox. 69 horas para completar
Inglés (English)
Subtítulos: Inglés (English)
ofrecido por
Instituto de Tecnología de California (Caltech)
Caltech is a world-renowned science and engineering research and education institution, where extraordinary faculty and students seek answers to complex questions, discover new knowledge, lead innovation, and transform our future. Caltech's mission is to expand human knowledge and benefit society through research integrated with education. We investigate the most challenging, fundamental problems in science and technology in a singularly collegial, interdisciplinary atmosphere, while educating outstanding students to become creative members of society.
Programa - Qué aprenderás en este curso
2 horas para completar
Unit 0: Pre-course
Since this is a quantitative course, a certain level of mathematical background is necessary for a student to master the course material. In this unit, I would like to invite you to take the prerequisites assessment.
2 horas para completar
2 lecturas
6 horas para completar
Unit 1. Stocks, Bonds, Derivatives
6 horas para completar
10 videos (Total 131 minutos), 1 lectura, 2 cuestionarios
5 horas para completar
Unit 2. Interest Rates, Forward Rates, Bond Yields
5 horas para completar
5 videos (Total 88 minutos), 1 lectura, 2 cuestionarios
8 horas para completar
Unit 3. No-Arbitrage Pricing Relations
8 horas para completar
7 videos (Total 111 minutos), 1 lectura, 2 cuestionarios
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