Learn to price options using mathematical models in this 17-hour course. The course covers stocks, bonds, forwards, swaps, call and put options, options combinations, pricing deterministic payoffs, model-independent relations, risk-neutral pricing, asset pricing theorems, binomial tree pricing, Brownian motion, Ito's Lemma, Black-Scholes-Merton model, variations on Black-Scholes-Merton, currency options, exotic options, stochastic volatility, jump diffusion models, hedging with futures and bonds, interest rate models, forward rates models, and credit risk models. The course aims to teach students how to apply mathematical models to price various financial instruments accurately. The course is suitable for individuals interested in finance, mathematics, or quantitative analysis.
Overview
Syllabus
1 1 Welcome to my course - BEM1105x Course - Prof. Jakša Cvitanić.
1 2 Overview.
1 3 Stocks, bonds, forwards Part I.
1 4 Stocks, bonds, forwards Part II.
1 5 Swaps.
1 6 Call and Put Options Part I.
1 7 Call and Put Options Part II.
1 8 Call and Put Options Part III.
1 9 Options combinations Part I.
1 10 Options combinations Part II.
2 1 Pricing deterministic payoffs Part 1.
2 2 Pricing deterministic payoffs Part 2.
2 3 Bonds Part 1.
2 4 Bonds Part 2.
2 5 Bonds Part 3.
3 1 Model independent relations forwards, futures and swaps Part 1.
3 2 Model independent relations forwards, futures and swaps Part 2.
3 3 Model independent relations forwards, futures and swaps Part 3.
3 4 Model independent relations forwards, futures and swaps Part IV.
3 5 Model independent relations options Part 1.
3 6 Model independent relations options Part 2.
3 7 Model independent relations options Part 3.
4 1 Discrete time models.
4 2 Risk neutral pricing Part 1.
4 3 Risk neutral pricing Part 2.
4 4 Risk neutral pricing Part 3.
4 5 Fundamental theorems of asset pricing Part 1.
4 6 Fundamental theorems of asset pricing Part 2.
4 7 Binomial tree pricing Part 1.
4 8 Binomial tree pricing Part 2.
5 1 Brownian motion process Part 1.
5 2 Brownian motion process Part 2.
5 3 Stochastic integral Part 1.
5 4 Stochastic integral Part 2.
5 5 Ito s Rule, Ito s Lemma Part 1.
5 6 Ito s Rule, Ito s Lemma Part 2.
6 1 Black Scholes Merton pricing Part 1.
6 2 Black Scholes Merton pricing Part 2.
6 3 Black Scholes Merton pricing Part 3.
6 4 Risk neutral pricing Black Scholes Merton model Part 1.
6 5 Risk neutral pricing Black Scholes Merton model Part 2.
6 6 Black Scholes Merton pricing Part 3.
7 1 Variations on Black Scholes Merton Part 1.
7 2 Variations on Black Scholes Merton Part 2.
7 3 Currency options Part 1.
7 4 Currency options Part 2.
7 5 Exotic options Part 1.
7 6 Exotic options Part 2.
7 7 Pricing options on more underlyings Part 1.
7 8 Pricing options on more underlyings Part 2.
8 1 Stochastic Volatility Part 1.
8 2 Stochastic Volatility Part 2.
8 3 Stochastic Volatility Part 3.
8 4 Jump diffusion models.
9 1 Static hedging with futures Part 1.
9 2 Static hedging with futures Part 2.
9 3 Static hedging with bonds.
9 4 Perfect hedging replication Part 1.
9 5 Perfect hedging replication Part 2.
9 6 Hedging portfolio sensitivities Part 1.
9 7 Hedging portfolio sensitivities Part 2.
9 8 Hedging portfolio sensitivities Part 3.
10 1 Introduction to interest rate models Part 1.
10 2 Introduction to interest rate models Part 2.
10 3 Continuous time interest rate models Part 1.
10 4 Continuous time interest rate models Part 2.
10 5 Continuous time interest rate models Part 3.
10 6 Continuous time interest rate models Part 4.
10 7 Forward rates models Part 1.
10 8 Forward rates models Part 2.
10 9 Forward rates models Part 3.
10 10 Forward rates models Part 4.
10 11 Change of numeraire method Part 1.
10 12 Change of numeraire method Part 2.
10 13 Introduction to credit risk models Part 1.
10 14 Introduction to credit risk models Part 2.
Taught by
caltech
