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Learner Reviews & Feedback for Advanced Topics in Derivative Pricing by Columbia University

4.5
stars
11 ratings

About the Course

This course discusses topics in derivative pricing. The first module is designed to understand the Black-Scholes model and utilize it to derive Greeks, which measures the sensitivity of option value to variables such as underlying asset price, volatility, and time to maturity. Greeks are important in risk management and hedging and often used to measure portfolio value change. Then we will analyze risk management of derivatives portfolios from two perspectives—Greeks approach and scenario analysis. The second module reveals how option’s theoretical price links to real market price—by implied volatility. We will discuss pricing by volatility surface as well as explanations of volatility smile and skew, which are common in real markets. The third module involves topics in credit derivatives and structured products and focuses on Credit Debit Obligation (CDO), which played an important part in the past financial crisis starting from 2007. We will cover CDO’s definition, simple and synthetic versions of CDO, and CDO portfolios. The final module is the application of option pricing methodologies and takes natural gas and electricity related options as an example to introduce valuation methods such as dynamic programming in real options....

Top reviews

JS

Feb 2, 2023

The course is really amazing. I could learn a lot, i suffered becuse it was challenging. I recommend it, definetely!

AS

Oct 25, 2022

Fantastic course, I learned a lot. Many thanks to the instructors and the support team!

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1 - 3 of 3 Reviews for Advanced Topics in Derivative Pricing

By weiyang l

Oct 21, 2022

Thank you Professors. This is a great course to gain hands-on knowledge of equity derivatives pricing (including some Exotics), credit derivative pricing (including some Exotics). There are also real options. It can be very frustrating to try to get the assignments correct. But when it happens, it is a big relieve and we have achieved to the next level. Appreciate all the efforts from Professors and teaching staffs!

By Julio J F B S

Feb 3, 2023

The course is really amazing. I could learn a lot, i suffered becuse it was challenging. I recommend it, definetely!

By Adjmal S S

Oct 26, 2022

Fantastic course, I learned a lot. Many thanks to the instructors and the support team!