Pricing Options with Mathematical Models

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Provider Subject Specialization
Sciences & Technology
Business & Management
22212 reviews

Course Description

This is an introductory course on options and other financial derivatives, and their applications to risk management. We will start with discrete-time, binomial trees models, but most of the course will be in the framework of continuous-time, Brownian Motion driven 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 s...

This is an introductory course on options and other financial derivatives, and their applications to risk management. We will start with discrete-time, binomial trees models, but most of the course will be in the framework of continuous-time, Brownian Motion driven 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. You should have a working knowledge of basic calculus, statistics, and probability and be interested in the use of mathematical modeling. Please go to Unit 0 in the Course Outline to take the prerequisites assessment.

Reviews 9/10 stars
6 Reviews for Pricing Options with Mathematical Models

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9/10 starsCompleted
2 years, 4 months ago
First of all, absolutely perfect instructor. Content is not for beginners but is explained in very reasonably way. Lot of technical/maths details were not covered - which is very good. The most important ideas are explained very clearly and easy to understand. Really great job Mr. Cvitanic
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Ricardo A VanEgas

10/10 starsCompleted
3 years, 4 months ago
The course content was top notch in 10 weeks of this class we covered the elementary derivatives and financial assets traded at American exchanges. From ground zero. Professor Cvitanic was terrific explaining the first 8 weeks of the course, the final 2 weeks were a bit obscure and ambiguous, I had to resort to my personal experience to do the homeworks and then facing the final exam. CalTech proved why is nowadays America's best STEM college in the world. The educational methods were up to its standards. Unfortunately, this course is not for dummies. If you are a seasoned speculator, a dealer or a trader with a degree in STEM OR BUSINESS you will struggle with some of the challenging questions, but you will pass (even if you are rusty!) One of the features I enjoyed the most in regarding this tough course. It is probably the only MOOC asking you to take an admission test...If you do poorly , you better study the material at ... The course content was top notch in 10 weeks of this class we covered the elementary derivatives and financial assets traded at American exchanges. From ground zero. Professor Cvitanic was terrific explaining the first 8 weeks of the course, the final 2 weeks were a bit obscure and ambiguous, I had to resort to my personal experience to do the homeworks and then facing the final exam. CalTech proved why is nowadays America's best STEM college in the world. The educational methods were up to its standards. Unfortunately, this course is not for dummies. If you are a seasoned speculator, a dealer or a trader with a degree in STEM OR BUSINESS you will struggle with some of the challenging questions, but you will pass (even if you are rusty!) One of the features I enjoyed the most in regarding this tough course. It is probably the only MOOC asking you to take an admission test...If you do poorly , you better study the material at once and take a second chance to take the class for the Honors....
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10/10 starsCompleted
3 years, 4 months ago
I was very happy to take this course. The material was clearly explained and I learned a lot of very valuable inforamation. Students are required to have a certain amount of mathematical intuition, as you would expect in a course of this type.
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AASHISH TRIVEDI

4/10 starsDropped
3 years, 4 months ago
I was enthusiastic to take this course. After going through Chapter 1, I found the content not being explained properly as it should be explained, appeared as if instructor was reading from a book, had a heavy accent and was barely audible. I have due respect for the instructor and his knowledge, but this is how I feel. My apologies to instructor.
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10/10 starsCompleted
3 years, 5 months ago
One of my favorite MOOCs. Well organized and excellent problems. This class really improved my understanding of the subject.
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10/10 starsCompleted
3 years, 6 months ago
Pricing Options with Mathematical Models is one of the best MOOC on the internet. Moreover, Professor Jaksa Cvitanic is a world class specialist in financial mathematics. I strongly recommend this course who want to learn the basics of the Black-Scholes-Merton model and other mathematical models for pricing financial derivatives and hedging risk in financial markets.
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