Derivatives

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Derivatives

This course is part of Financial Markets Specialization

Instructor: Giuliano Curatola

Included with

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5 modules

Gain insight into a topic and learn the fundamentals.

Intermediate level

Recommended experience

8 hours to complete

Flexible schedule

Learn at your own pace

5 modules

Gain insight into a topic and learn the fundamentals.

Intermediate level

Recommended experience

8 hours to complete

Flexible schedule

Learn at your own pace

What you'll learn

Evaluate the effect of investment strategies on the risk and return of a portfolio
Evaluate different uses of financial derivatives (e.g., hedging, speculation)
Evaluate different pricing models to calculate the price of the various financial instruments
Develop and employ theoretical asset pricing models to price these derivative instruments

Skills you'll gain

Details to know

Shareable certificate

Add to your LinkedIn profile

Assessments

9 assignments

Taught in English

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This course is part of the Financial Markets Specialization

When you enroll in this course, you'll also be enrolled in this Specialization.

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Earn a shareable career certificate

There are 5 modules in this course

This course covers standard derivative pricing models. Both discrete time and continuous time techniques are considered. The course also includes an introduction to numerical option pricing, in particular the Monte Carlo Method.

By the end of this week you will learn: fixing some notation; describe the pay-off structure of financial assets; evaluate possible usages of derivatives (hedging, speculation).

What's included

12 videos11 readings2 assignments

12 videosTotal 16 minutes

Welcome!1 minute
Introduction1 minute
Bonds: definitions1 minute
Classification of bonds1 minute
Reasons and risk of trading bonds1 minute
Stocks: definition1 minute
Trading Stocks1 minute
Future contracts: definition 1 minute
Options: definition (part 1)1 minute
Options: definition (part 2)1 minute
Options: Bounds of option prices2 minutes
Options: Trading strategies involving options2 minutes

11 readingsTotal 88 minutes

Bonds: definitions1 minute
Bonds15 minutes
Stocks10 minutes
Forward contract and Future contract15 minutes
Options: definition (part 1)10 minutes
Options: definition (part 2)7 minutes
Let's practice5 minutes
Options15 minutes
Risk management using derivatives5 minutes
Let's practise3 minutes
To sum up2 minutes

2 assignmentsTotal 35 minutes

Bonds5 minutes
Financial assets 30 minutes

By the end of this week, you will understand the replication of a payoff function, state prices and risk neutral probabilities. Additionally, you will learn how to compute option prices in discrete time models.

What's included

8 videos10 readings3 assignments

8 videosTotal 16 minutes

A simple period model of security prices: portfolios4 minutes
A single period model of security prices: pricing via replication3 minutes
Pricing options by state prices2 minutes
Pricing assets using risk neutral probabilities: examples2 minutes
Pricing options using risk neutral probabilities2 minutes
Pricing assets by state prices: examples1 minute
A Multi-period model of security prices2 minutes
Pricing american options1 minute

10 readingsTotal 52 minutes

A simple period model of security prices (part 1)8 minutes
Let's practice!2 minutes
A single period model of security prices (part 2)12 minutes
Let's practice!5 minutes
Pricing by state prices5 minutes
Pricing by risk neutral probabilities5 minutes
Let's practice!4 minutes
A Multi-period model of security prices7 minutes
Pricing american options3 minutes
To sum up1 minute

3 assignmentsTotal 37 minutes

Pricing assets by state prices: exercise 5 minutes
Pricing assets using risk neutral probabilities: examples2 minutes
Discrete time models30 minutes

By the end of this week, you will learn about stochastic processes and Itô's lemma, financial markets in continuous time, and option pricing in continuous time.

What's included

5 videos8 readings2 assignments

5 videosTotal 17 minutes

The Geometric Brownian motion2 minutes
The Itô’s rule2 minutes
The MBS model: completeness2 minutes
The MBS model: the price of European options (part 1)6 minutes
The MBS model: the price of European options (part 2)6 minutes

8 readingsTotal 39 minutes

Brownian motion and exponential Brownian motion8 minutes
The Itô’s rule1 minute
Merton-Black-Scholes option pricing10 minutes
Example1 minute
The MBS model: the price of European options (part 1)8 minutes
The MBS model: the price of European options (part 2)7 minutes
Let's practice!3 minutes
To sum up1 minute

2 assignmentsTotal 38 minutes

Brownian motion and exponential Brownian motion8 minutes
Continuous time models30 minutes

By the end of this week, you will learn how to compute the price of fixed income products.

What's included

8 videos9 readings1 assignment

8 videosTotal 21 minutes

The binomial model of interest rate2 minutes
Pricing bonds with a Binomial Interest Rate Tree2 minutes
Recovering the risk neutral probability from bond prices3 minutes
Building a realistic tree1 minute
Continuous time models of interest rates2 minutes
Pricing bonds with continuous time interest rates6 minutes
Introduction to credit risk models: the Merton model3 minutes
Introduction to credit risk models: the intensity-based approach2 minutes

9 readingsTotal 26 minutes

The binomial model of interest rate1 minute
Pricing bonds with a Binomial Interest Rate Tree1 minute
Pricing Interest Rate Options with a Binomial Interest Rate Tree3 minutes
Building a realistic tree5 minutes
Continuous time models of interest rates1 minute
Continuous time models of interest rates10 minutes
Introduction to credit risk models: the Merton model3 minutes
Introduction to credit risk models: the intensity-based approach1 minute
To sum up1 minute

1 assignmentTotal 30 minutes

Pricing fixed income products: discrete time & continuous time 30 minutes

At the end of this week, you will learn numerical computation of option prices.

What's included

7 videos10 readings1 assignment

7 videosTotal 18 minutes

Generating random numbers from the uniform distribution2 minutes
Generating random numbers from a normal distribution1 minute
Simulation of BM, GBM and Vasicek processes2 minutes
Monte Carlo simulations and option pricing2 minutes
Variance reduction techniques: Antithetic Variables2 minutes
Variance reduction techniques: Control variates8 minutes
Variance reduction techniques: Importance sampling2 minutes

10 readingsTotal 26 minutes

Simulation of random variables6 minutes
Generating random numbers from a normal distribution1 minute
Simulation of BM, GBM and Vasicek processes3 minutes
Monte Carlo simulations5 minutes
Monte Carlo simulations and option pricing1 minute
Variance reduction techniques: Antithetic Variables1 minute
Let's practice!1 minute
Variance reduction techniques: Control variates5 minutes
Variance reduction techniques: Importance sampling2 minutes
To sum up1 minute

1 assignmentTotal 30 minutes

Numerical methods for option pricing30 minutes

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Instructor

Giuliano Curatola

Università di Napoli Federico II

1 Course1,189 learners

Offered by

Università di Napoli Federico II

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