Mathematical Option Pricing

Mathematical Option Pricing, available at $19.99, has an average rating of 4, with 22 lectures, based on 2 reviews, and has 26 subscribers.

You will learn about Black Scholes Assumptions Risk Neutral Probability Derive the Price of a Call or Put Option Vanilla Markets and the Volatility Derive the Stock Process and Calculate the Forward Black Scholes Equation Derive the Local Volatility Price a Barrier Option Reflection Principle Derive the Ornstein Uhlenbeck Process This course is ideal for individuals who are Math students with stochastic calculus knowledge or Professionals in the banking industry or Professionals in the insurance industry or Students and professionals planning to study mathematical finance It is particularly useful for Math students with stochastic calculus knowledge or Professionals in the banking industry or Professionals in the insurance industry or Students and professionals planning to study mathematical finance.

Enroll now: Mathematical Option Pricing

Summary

Title: Mathematical Option Pricing

Price: $19.99

Average Rating: 4

Number of Lectures: 22

Number of Published Lectures: 21

Number of Curriculum Items: 22

Number of Published Curriculum Objects: 21

Original Price: £19.99

Quality Status: approved

Status: Live

What You Will Learn

Black Scholes Assumptions
Risk Neutral Probability
Derive the Price of a Call or Put Option
Vanilla Markets and the Volatility
Derive the Stock Process and Calculate the Forward
Black Scholes Equation
Derive the Local Volatility
Price a Barrier Option
Reflection Principle
Derive the Ornstein Uhlenbeck Process

Who Should Attend

Math students with stochastic calculus knowledge
Professionals in the banking industry
Professionals in the insurance industry
Students and professionals planning to study mathematical finance

Target Audiences

Math students with stochastic calculus knowledge
Professionals in the banking industry
Professionals in the insurance industry
Students and professionals planning to study mathematical finance

Are you a maths student who wants to discover or consolidate your Mathematical Option Pricing? Are you a professional in the banking or insurance industry who wants to improve your theoretical knowledge?

Well then you’ve come to the right place!

Mathematical Option Pricing by Thomas Dacourt is designed for you, with clear lectures and 5 exercises and solutions.

In no time at all, you will acquire the fundamental skills that will allow you to confidently manipulate financial derivatives. The course is:

Easy to understand
Comprehensive
Practical
To the point

We will cover the following:

Black Scholes Assumptions
Risk Neutral Probability
Stock Process, Forward
Black Scholes Equation
Vanilla Options
Breeden Litzenberger
Fokker Planck Equation
Local Volatility
Barrier Options
Reflection Principle
Ornstein Uhlenbeck

These key concepts form the basis for understanding mathematical option pricing.

Along with the lectures, there are 5 downloadable exercises with solutions provided which are designed to check and reinforce your understanding.

The instructor

I am Thomas Dacourt and I am currently working as a senior quantitative analyst for a prestigious investment bank in London. I have held various quant positions in equity, commodities and credit in London over the last 10 years. I have studied mathematics and applied mathematics in France and financial engineering in London.

YOU WILL ALSO GET:

Lifetime Access
Q&A section with support
Certificate of completion
30-day money-back guarantee

Course Curriculum

Chapter 1: Introduction

Lecture 1: Introduction

Chapter 2: The Pricing Framework

Lecture 1: The Pricing Framework

Lecture 2: Math: Fundamental Theorem of Asset Pricing

Lecture 3: Economics: The Black Scholes Model

Lecture 4: Arbitrage, an Example

Lecture 5: The Stock and the Forward

Lecture 6: Call Option, an Example

Chapter 3: Vanilla Options

Lecture 1: Introduction to Call and Put Options

Lecture 2: Derivation of the Call Price Formula

Lecture 3: Vanilla Markets, Vanilla Structures

Lecture 4: The Black Scholes Equation

Chapter 4: A Few Other Options

Lecture 1: Exchange Option

Lecture 2: Chooser Option

Lecture 3: Forward Start Option

Chapter 5: Local Volatility

Lecture 1: Introduction to the Local Volatility

Lecture 2: The Breeden Litzenberger Formula

Lecture 3: The Fokker Planck Equation

Lecture 4: The Local Volatility Formula

Chapter 6: Barrier Options

Lecture 1: The Reflection Principle

Lecture 2: Barrier Options, a Closed Formula

Chapter 7: Ornstein Uhlenbeck

Lecture 1: Ornstein Uhlenbeck Process

Instructors

Thomas Dacourt
Financial Engineer

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2 stars: 0 votes
3 stars: 1 votes
4 stars: 0 votes
5 stars: 1 votes

Frequently Asked Questions

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