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Learner Reviews & Feedback for Pricing Options with Mathematical Models by Caltech

About the Course

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. 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. Prerequisites. A basic knowledge of calculus based probability/statistics. Some exposure to stochastic processes and partial differential equations is helpful, but not mandatory. It is strongly recommended you take the prerequisites test available in Unit 0, to see if your mathematical background is strong enough for successfully completing the course. If you get less than 70% on the test, it may be more useful to work further on your math skills before taking this course. Or you can just do a part of the course....

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1 - 3 of 3 Reviews for Pricing Options with Mathematical Models

By Sergey M

Oct 18, 2021

While I knew most of materials of the course prior to taking it and it was relatively easy for me to pass all the assignments, I strongly recommend the course if you want to understand the main concepts of mathematical finance. It is very well balanced course, not overly difficult but not easy either. Optimal duration and size of the information for you to learn and understand. While, I barely used videos and mostly used slides, I find that Professor explains core concepts very nicely. This is one of the best courses I took on Coursera!

By Alireza B

Jul 7, 2022

it was fantastic course with useful curriculum. Moreover, the problem sets were challenging and shed light on some dark issues. I really appriciate the professor Cvitanic as well!

By Yi W

Dec 21, 2021

nice course and nice professor. More examples, would be better.