Pricing Options with Mathematical Models
Master advanced mathematical techniques for options pricing and derivatives, including Black-Scholes-Merton model and stochastic calculus.
Master advanced mathematical techniques for options pricing and derivatives, including Black-Scholes-Merton model and stochastic calculus.
This comprehensive course provides an in-depth exploration of options pricing and financial derivatives. Students learn both discrete-time binomial tree models and continuous-time Brownian Motion models, with emphasis on the Black-Scholes-Merton pricing framework. The curriculum covers stochastic calculus, partial differential equations, and probabilistic approaches to financial modeling. Through rigorous mathematical analysis and practical applications, participants develop advanced skills in derivatives pricing and risk management.
4.6
(27 ratings)
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English
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What you'll learn
Master options pricing mathematics
Understand Black-Scholes-Merton model
Apply stochastic calculus to finance
Analyze derivatives and risk management
Develop fixed income pricing models
Implement hedging strategies
Skills you'll gain
This course includes:
841 Minutes PreRecorded video
22 assignments
Access on Mobile, Tablet, Desktop
Batch access
Shareable certificate
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There are 12 modules in this course
This advanced course covers the mathematical foundations of options pricing and derivatives through twelve comprehensive modules. The curriculum progresses from basic concepts to sophisticated models, including Black-Scholes-Merton, stochastic volatility, and fixed income derivatives. Students learn both theoretical frameworks and practical applications, with emphasis on mathematical rigor and market understanding.
Unit 0: Pre-course
Module 1 · 2 Hours to complete
Unit 1. Stocks, Bonds, Derivatives
Module 2 · 6 Hours to complete
Unit 2. Interest Rates, Forward Rates, Bond Yields
Module 3 · 5 Hours to complete
Unit 3. No-Arbitrage Pricing Relations
Module 4 · 7 Hours to complete
Unit 4: Pricing in Discrete Time Models
Module 5 · 6 Hours to complete
Unit 5. Brownian Motion and Ito Calculus
Module 6 · 7 Hours to complete
Unit 6. Pricing in Black-Scholes-Merton model
Module 7 · 7 Hours to complete
Unit 7. Extensions of Black-Scholes-Merton
Module 8 · 6 Hours to complete
Unit 8. Hedging
Module 9 · 7 Hours to complete
Unit 9. Beyond Black-Scholes-Merton
Module 10 · 1 Hours to complete
Unit 10. Pricing in Fixed Income Markets
Module 11 · 7 Hours to complete
Final Exam
Module 12 · 3 Hours to complete
Fee Structure
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Instructor
A Leading Figure in Mathematical Finance and Financial Economics
Jaksa Cvitanic is a distinguished scholar and educator in the fields of mathematical finance, financial engineering, and financial economics. With a career spanning over two decades, he has made significant contributions to academia through his teaching, research, and publications. Professor Cvitanic has held teaching positions at prestigious institutions including Columbia University, the University of Southern California, EDHEC Business School, and currently at the California Institute of Technology (Caltech). His expertise is reflected in his extensive publication record, which includes two influential books: "Introduction to the Economics and Mathematics of Financial Markets" and "Contract Theory in Continuous Time Models," as well as more than fifty scientific articles. Cvitanic's research has significantly advanced understanding in areas such as portfolio optimization, risk management, and financial contracts. His work on convex duality in constrained portfolio optimization, published in 1992, has been particularly impactful, garnering over 880 citations. In addition to his research, Cvitanic has served as a co-editor for prominent journals in the field, including "Finance and Stochastics" and "Mathematical Finance," further cementing his status as a leading figure in mathematical finance and financial economics.
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4.6 course rating
27 ratings
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