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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Pricing Options with Mathematical Models
CaltechAbout this Course
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Intermediate Level
Prior experience with calculus based probability/statistics. Some exposure to stochastic processes and partial differential equations is helpful.
Approx. 69 hours to complete
English
Could your company benefit from training employees on in-demand skills?
Try Coursera for BusinessFlexible deadlines
Reset deadlines in accordance to your schedule.
Shareable Certificate
Earn a Certificate upon completion
100% online
Start instantly and learn at your own schedule.
Intermediate Level
Prior experience with calculus based probability/statistics. Some exposure to stochastic processes and partial differential equations is helpful.
Approx. 69 hours to complete
English
Could your company benefit from training employees on in-demand skills?
Try Coursera for BusinessOffered by
Syllabus - What you will learn from this course
2 hours to complete
Unit 0: Pre-course
2 hours to complete
2 readings
6 hours to complete
Unit 1. Stocks, Bonds, Derivatives
6 hours to complete
10 videos (Total 131 min), 1 reading, 2 quizzes
5 hours to complete
Unit 2. Interest Rates, Forward Rates, Bond Yields
5 hours to complete
5 videos (Total 88 min), 1 reading, 2 quizzes
8 hours to complete
Unit 3. No-Arbitrage Pricing Relations
8 hours to complete
7 videos (Total 111 min), 1 reading, 2 quizzes
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