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Giuliano Curatola
This course covers standard derivative pricing models. Both discrete time and continuous time techniques are considered. The course also includes an introduction to numerical option pricing, in particular the Monte Carlo Method.
After this course, students should have a good knowledge of financial markets, security pricing, arbitrage, interest rates, risk and return. Contents:
1) Definition and classification of financial assets
2) Discrete-time pricing models
3) Continuous-time pricing models
4) Fixed income products
5) Monte Carlo methods for derivative pricing
Register for this course and see more details by visiting:
OpenCourser.com/course/3590bb/derivative
What's inside
Syllabus
Financial assets
By the end of this week you will learn: fixing some notation; describe the pay-off structure of financial assets; evaluate possible usages of derivatives (hedging, speculation).
Read more
Syllabus
Financial assets
By the end of this week you will learn: fixing some notation; describe the pay-off structure of financial assets; evaluate possible usages of derivatives (hedging, speculation).
Read more
Discrete time models
By the end of this week, you will understand the replication of a payoff function, state prices and risk neutral probabilities. Additionally, you will learn how to compute option prices in discrete time models.
Continuous time models
By the end of this week, you will learn about stochastic processes and Itô's lemma, financial markets in continuous time, and option pricing in continuous time.
Pricing fixed income products: discrete time & continuous time
By the end of this week, you will learn how to compute the price of fixed income products.
Numerical methods for option pricing
At the end of this week, you will learn numerical computation of option prices.
Good to know
Good to know
Know what's good ,
what to watch for , and
possible dealbreakers
Covers standard derivative pricing models used widely in industry
Provides a strong foundation in financial markets and derivative pricing for beginners
Includes numerical methods for option pricing, including the Monte Carlo Method
Provides insights into fixed income products, which are commonly used in finance
Requires a solid understanding of calculus and probability theory
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Save Derivatives to your list so you can find it easily later:
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Activities
Be better prepared
before
your course. Deepen your understanding
during
and
after
it. Supplement your coursework and achieve mastery of the topics covered
in Derivatives with these
activities:
Derivatives pricing refresher
Show steps
Review the relevant mathematical concepts in derivatives pricing to prepare for the coursework.
Show steps
-
Review the definition and types of derivatives.
-
Re-familiarize with the Black-Scholes model.
Derivative pricing explainer
Show steps
Create a presentation or written document that explains the concepts of derivative pricing to a non-expert audience.
Show steps
-
Identify the key concepts to explain.
-
Research and gather relevant information.
-
Structure and organize the content.
Option pricing practice problems
Show steps
Solve a set of practice problems to reinforce the concepts of option pricing.
Browse courses on
Option Pricing
Show steps
-
Set up the problem and identify relevant parameters.
-
Apply the appropriate model to calculate the option price.
Four other activities
Expand to see all activities and additional details
Show all seven activities
Option pricing study group
Show steps
Join a study group with peers to discuss and solve option pricing problems.
Browse courses on
Option Pricing
Show steps
-
Find a group of peers with similar learning goals.
-
Set regular meeting times and agenda.
-
Work together to solve problems and clarify concepts.
Monte Carlo simulation tutorial
Show steps
Walk through a step-by-step tutorial on using Monte Carlo simulation for derivative pricing.
Browse courses on
Monte Carlo Simulation
Show steps
-
Set up the simulation environment.
-
Generate random numbers and path.
-
Calculate the option price.
Fixed income product pricing report
Show steps
Research and write a report that analyzes the pricing of a specific fixed income product, such as a bond or a structured note.
Browse courses on
Fixed Income
Show steps
-
Select and define the fixed income product for analysis.
-
Research and gather data on the product.
-
Apply appropriate pricing models.
-
Analyze and interpret the results.
Financial modeling competition
Show steps
Participate in a financial modeling competition to apply and test your skills in a real-world setting.
Browse courses on
Financial Modeling
Show steps
-
Find and register for a suitable competition.
-
Build a team or work individually.
-
Develop a model and prepare a presentation.
-
Present your findings and compete against other teams.
Derivatives pricing refresher
Show steps
Review the relevant mathematical concepts in derivatives pricing to prepare for the coursework.
Show steps
Show steps
Show steps
- Review the definition and types of derivatives.
- Re-familiarize with the Black-Scholes model.
Derivative pricing explainer
Show steps
Create a presentation or written document that explains the concepts of derivative pricing to a non-expert audience.
Show steps
Show steps
Show steps
- Identify the key concepts to explain.
- Research and gather relevant information.
- Structure and organize the content.
Option pricing practice problems
Show steps
Solve a set of practice problems to reinforce the concepts of option pricing.
Browse courses on
Option Pricing
Show steps
Show steps
Show steps
- Set up the problem and identify relevant parameters.
- Apply the appropriate model to calculate the option price.
Four other activities
Expand to see all activities and additional details
Show all seven activities
Option pricing study group
Show steps
Join a study group with peers to discuss and solve option pricing problems.
Browse courses on
Option Pricing
Show steps
Show steps
Show steps
- Find a group of peers with similar learning goals.
- Set regular meeting times and agenda.
- Work together to solve problems and clarify concepts.
Monte Carlo simulation tutorial
Show steps
Walk through a step-by-step tutorial on using Monte Carlo simulation for derivative pricing.
Browse courses on
Monte Carlo Simulation
Show steps
Show steps
Show steps
- Set up the simulation environment.
- Generate random numbers and path.
- Calculate the option price.
Fixed income product pricing report
Show steps
Research and write a report that analyzes the pricing of a specific fixed income product, such as a bond or a structured note.
Browse courses on
Fixed Income
Show steps
Show steps
Show steps
- Select and define the fixed income product for analysis.
- Research and gather data on the product.
- Apply appropriate pricing models.
- Analyze and interpret the results.
Financial modeling competition
Show steps
Participate in a financial modeling competition to apply and test your skills in a real-world setting.
Browse courses on
Financial Modeling
Show steps
Show steps
Show steps
- Find and register for a suitable competition.
- Build a team or work individually.
- Develop a model and prepare a presentation.
- Present your findings and compete against other teams.
Career center
Learners who complete Derivatives will develop knowledge and skills
that may be useful to these careers:
Financial Analyst
Financial Analyst
Financial Analysts typically work for investment banks, hedge funds, and other financial institutions. They analyze financial data and make recommendations on investments. This course will help you develop the skills you need to succeed in this role, including financial modeling, valuation, and risk management.
Quantitative Analyst
Quantitative Analyst
Quantitative Analysts use mathematical and statistical models to analyze financial data. They help investment managers make informed decisions about investments. This course will help you develop the skills you need to succeed in this role, including financial modeling, data analysis, and programming.
Portfolio Manager
Portfolio Manager
Portfolio Managers are responsible for managing investment portfolios. They make decisions about which investments to buy and sell, and how to allocate assets. This course will help you develop the skills you need to succeed in this role, including financial modeling, portfolio management, and risk management.
Risk Manager
Risk Manager
Risk Managers are responsible for identifying, assessing, and mitigating financial risks. They work for a variety of organizations, including banks, insurance companies, and investment funds. This course will help you develop the skills you need to succeed in this role, including financial modeling, risk assessment, and portfolio management.
Trader
Trader
Traders buy and sell financial instruments for their own account or for clients. They work for a variety of organizations, including banks, hedge funds, and proprietary trading firms. This course will help you develop the skills you need to succeed in this role, including financial modeling, trading strategies, and risk management.
Derivatives Trader
Derivatives Trader
Derivatives Traders specialize in trading financial derivatives, such as options, futures, and swaps. They work for a variety of organizations, including banks, hedge funds, and proprietary trading firms. This course will help you develop the skills you need to succeed in this role, including financial modeling, derivatives pricing, and risk management.
Hedge Fund Manager
Hedge Fund Manager
Hedge Fund Managers are responsible for managing hedge funds, which are investment funds that use advanced investment strategies to generate returns. They work for a variety of organizations, including banks, investment firms, and family offices. This course will help you develop the skills you need to succeed in this role, including financial modeling, portfolio management, and risk management.
Investment Banker
Investment Banker
Investment Bankers provide financial advice to companies and governments. They help companies raise capital, merge with other companies, and acquire other businesses. This course will help you develop the skills you need to succeed in this role, including financial modeling, valuation, and negotiation.
Actuary
Actuary
Actuaries use mathematical and statistical models to assess financial risks. They work for a variety of organizations, including insurance companies, pension funds, and consulting firms. This course will help you develop the skills you need to succeed in this role, including financial modeling, risk assessment, and data analysis.
Financial Planner
Financial Planner
Financial Planners help individuals and families plan for their financial future. They provide advice on investments, retirement planning, and estate planning. This course will help you develop the skills you need to succeed in this role, including financial planning, investment advice, and retirement planning.
Insurance Agent
Insurance Agent
Insurance Agents sell insurance policies to individuals and businesses. They help clients assess their risks and choose the right insurance coverage. This course will help you develop the skills you need to succeed in this role, including sales techniques, insurance products, and risk assessment.
Loan Officer
Loan Officer
Loan Officers evaluate loan applications and approve loans. They work for a variety of organizations, including banks, credit unions, and mortgage companies. This course will help you develop the skills you need to succeed in this role, including financial analysis, credit analysis, and loan structuring.
Accountant
Accountant
Accountants prepare and maintain financial records. They also provide financial advice to individuals and businesses. This course will help you develop the skills you need to succeed in this role, including financial accounting, auditing, and tax preparation.
Auditor
Auditor
Auditors examine financial records to ensure that they are accurate and compliant with regulations. They work for a variety of organizations, including accounting firms, government agencies, and corporations. This course will help you develop the skills you need to succeed in this role, including auditing procedures, financial accounting, and risk assessment.
Tax Preparer
Tax Preparer
Tax Preparers prepare tax returns for individuals and businesses. They help clients minimize their tax liability and ensure that they comply with tax laws. This course will help you develop the skills you need to succeed in this role, including tax law, tax preparation, and tax planning.
For more career information including salaries, visit:
OpenCourser.com/course/3590bb/derivative
Reading list
We've selected eight books
that we think will supplement your
learning. Use these to
develop background knowledge, enrich your coursework, and gain a
deeper understanding of the topics covered in
Derivatives.
Provides a rigorous and comprehensive treatment of the theory and practice of financial derivatives. It covers a wide range of topics, including pricing models, risk management, and applications in various financial markets.
Provides a comprehensive overview of fixed income securities. It covers a wide range of topics, including valuation, risk management, and applications in various financial markets.
Provides a comprehensive overview of Monte Carlo methods and their applications in financial engineering. It covers a wide range of topics, including option pricing, risk management, and applications in various financial markets.
Provides a comprehensive overview of options, futures, and swaps. It covers a wide range of topics, including pricing, hedging, and applications in various financial markets.
Provides a comprehensive overview of financial risk management. It covers a wide range of topics, including risk measurement, risk management techniques, and applications in various financial markets.
Provides a comprehensive overview of derivatives and risk management. It covers a wide range of topics, including pricing, hedging, and applications in various financial markets.
Provides a comprehensive overview of risk management and financial institutions. It covers a wide range of topics, including risk measurement, risk management techniques, and applications in various financial markets.
Provides a comprehensive overview of financial derivatives. It covers a wide range of topics, including pricing, hedging, and applications in various financial markets.
For more information about how these books relate to this course, visit:
OpenCourser.com/course/3590bb/derivative
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Level
Intermediate
Via
Coursera
Institution
Università di Napoli Federico II
Instructor
Giuliano Curatola
Language
English
This course belongs to a
collection
called
Financial Markets. It's comprised of three courses:
- Derivatives (viewing)
- Market Microstructure
- Financial Intermediation
Good to know
Covers standard derivative pricing models used widely in industry
Provides a strong foundation in financial markets and derivative pricing for beginners
Includes numerical methods for option pricing, including the Monte Carlo Method
Provides insights into fixed income products, which are commonly used in finance
Requires a solid understanding of calculus and probability theory
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