用数学模型定价

Pricing Options with Mathematical Models

Introduction to the Black-Scholes-Merton model and other mathematical models for pricing financial derivatives and hedging risk in financial markets.

1395 次查看
加州理工学院
edX
  • 完成时间大约为 10
  • 高级
  • 英语
注:因开课平台的各种因素变化,以上开课日期仅供参考

你将学到什么

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

Interest rate models and the pricing of interest rate derivatives

Evaluate the economics and mathematics behind the financial models presented

课程概况

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.

预备知识

Working knowledge of calculus, statistics and probability, and interest in the use of mathematical modeling. Please go to Unit 0 in the Course Outline to take the prerequisites assessment.

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