Columbia University - Advanced Topics in Derivative Pricing
- Offered byCoursera
Advanced Topics in Derivative Pricing at Coursera Overview
Duration | 16 hours |
Start from | Start Now |
Total fee | Free |
Mode of learning | Online |
Difficulty level | Intermediate |
Official Website | Explore Free Course  |
Credential | Certificate |
Advanced Topics in Derivative Pricing at Coursera Highlights
- Flexible deadlines Reset deadlines in accordance to your schedule.
- Shareable Certificate Earn a Certificate upon completion
- 100% online Start instantly and learn at your own schedule.
- Course 4 of 5 in the Financial Engineering and Risk Management Specialization
- Intermediate Level Students should have taken intermediate to advanced undergraduate courses in probability and statistics, linear algebra, and calculus.
- Approx. 16 hours to complete
- English Subtitles: English
Advanced Topics in Derivative Pricing at Coursera Course details
- This course discusses topics in derivative pricing.
- The first module is designed to understand the Black-Scholes model and utilize it to derive Greeks, which measures the sensitivity of option value to variables such as underlying asset price, volatility, and time to maturity. Greeks are important in risk management and hedging and often used to measure portfolio value change.
- Then we will analyze risk management of derivatives portfolios from two perspectives Greeks approach and scenario analysis.
- The second module reveals how options theoretical price links to real market price by implied volatility. We will discuss pricing by volatility surface as well as explanations of volatility smile and skew, which are common in real markets
- The third module involves topics in credit derivatives and structured products and focuses on Credit Debit Obligation (CDO), which played an important part in the past financial crisis starting from 2007. We will cover CDOs definition, simple and synthetic versions of CDO, and CDO portfolios.
- The final module is the application of option pricing methodologies and takes natural gas and electricity related options as an example to introduce valuation methods such as dynamic programming in real options.
Advanced Topics in Derivative Pricing at Coursera Curriculum
Course Overview
Course Overview
About Us
Equity Derivatives in Practice: Part I
Review of the Binomial Model for Option Pricing
The Black-Scholes Model
The Greeks: Delta
The Greeks: Gamma
The Greeks: Vega
The Greeks: Theta
Risk-Management of Derivatives Portfolios: Greeks Approach
Risk-Management of Derivatives Portfolios: Scenario Analysis
Delta-Hedging
Beyond Black-Scholes: Implied Volatility
Beyond Black-Scholes: Volatility Surface
Lesson Supplements
Quiz Instructions
W2.1 Self-check Quiz
W2.2 Self-Check Quiz
Graded quiz
W2.3 Self-Check Quiz
W2.4 Self-Check Quiz
W2.5 Self-check
Equity Derivatives in Practice: Part I
Equity Derivatives in Practice: Part II
The Volatility Surface in Action
Why is There a Skew?
The Leverage Effect
What the Volatility Surface Tells Us
Deriving the Marginal Risk-Neutral Distribution Using Volatility Surface
Pricing Derivatives Using the Volatility Surface
Example: Digital Option Pricing
Pricing a Range Accrual
Beyond the Volatility Surface and Black-Scholes 1
Beyond the Volatility Surface and Black-Scholes 2
Lesson Supplements
W3.1 Self-Check Quiz
W3.2 Self-Check Quiz
W3.3 Self-Check Quiz
Review and Assignment for Equity Derivatives
Introduction to Assignment
Graded quiz
Assignment 1
Assignment 2
Credit Derivatives and Structured Products
Structured Credit: CDOs and Beyond
The Gaussian Copula Model
Computing the Portfolio Loss Distribution
1-Period CDO Model: Part I
1-Period CDO Model: Part II
Observations from the 1-Period CDO Model
The Mechanics of a ?Synthetic? CDO Tranche
Fair Value of Premium & Default Leg
Fair Value of CDO Tranche
Cash and Synthetic CDOs
Pricing and Risk Management of CDO Portfolios
Challenges in Risk Management of Structured Credit Portfolios
A Brief Aside on Copulas
CDO-Squared's and Beyond
Lesson Supplements
Quiz Instructions
W5.1 Self-Check Questions
W5.2 Self-Check Questions
W5.3 Self-Check Questions
W5.4 Self-Check Quiz
Credit Derivatives and Structured Products
Other Applications of Financial Engineering
Real Options
Valuation of Natural Gas and Electricity Related Options 1
Valuation of Natural Gas and Electricity Related Options 2
Real Options in Excel
Quiz Instructions
Other Applications of Financial Engineering
Advanced Topics in Derivative Pricing at Coursera Admission Process
Important Dates
Other courses offered by Coursera
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