This advanced course on options and financial derivatives offers a comprehensive exploration of risk management applications in finance. Taught by a Caltech professor, it provides an in-depth understanding of option pricing models and equips students with the knowledge to further their studies in this field independently.
The course begins with discrete-time, binomial trees models before delving into continuous-time, Brownian Motion driven models. Students will receive a foundational introduction to Stochastic and Ito Calculus, crucial components in understanding modern financial theory. The Black-Scholes-Merton pricing model serves as the benchmark, but the course also covers more advanced concepts like stochastic volatility models.
Throughout the course, students will explore both Partial Differential Equations and probabilistic, martingale approaches to financial modeling. The curriculum also includes an introduction to interest rate modeling and fixed income derivatives, providing a well-rounded understanding of financial instruments and their pricing mechanisms.
This course is ideal for advanced undergraduate students, graduate students, or professionals in finance, economics, or related fields who want to deepen their understanding of options and financial derivatives. It's particularly suitable for those who enjoy mathematical challenges and are interested in the intersection of finance and advanced mathematics.
The skills acquired in this course are highly valuable in various financial sector roles, including:
These skills enable professionals to make informed decisions about complex financial instruments, develop sophisticated risk management strategies, and contribute to the ongoing evolution of financial markets.
A detailed syllabus is not provided, but based on the course description, the syllabus likely includes sections on:
Students are encouraged to refer to Unit 0 in the Course Outline for a prerequisites assessment and potentially more detailed syllabus information.