Pricing Options with Mathematical Models is a free online course conducted by California Institute of Technology (Caltech). This course provides introduction to the Black-Scholes-Merton model and other mathematical models for pricing financial derivatives and hedging risk in financial markets.
About the course
This is an introductory course on options and other financial derivatives, and their applications to risk management. The course starts 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. The course shall also discuss both the Partial Differential Equations approach, and the probabilistic, martingale approach.
What you'll learn
- Option pricing and risk-hedging methods in the binomial tree and Black-Scholes-Merton models
- Ability to price options and other financial derivatives in models beyond Black-Scholes-Merton
- Present interest rate models and the pricing of interest rate derivatives
- Evaluate the economics and mathematics behind the financial models presented
- September 29, 2015
- 10 weeks
For further information and to register, click here.