Mathematical Option Pricing

Learn or refresh Mathematical Option Pricing with a full lecture, practical examples and 5 exercises and solutions.

Ratings: 3.95 / 5.00




Description

Are you a maths student who wants to discover or consolidate your Mathematical Option Pricing? Are you a professional in the banking or insurance industry who wants to improve your theoretical knowledge?

Well then you’ve come to the right place!

Mathematical Option Pricing by Thomas Dacourt is designed for you, with clear lectures and 5 exercises and solutions.

In no time at all, you will acquire the fundamental skills that will allow you to confidently manipulate financial derivatives. The course is:

  • Easy to understand

  • Comprehensive

  • Practical

  • To the point

We will cover the following:

  • Black Scholes Assumptions

  • Risk Neutral Probability

  • Stock Process, Forward

  • Black Scholes Equation

  • Vanilla Options

  • Breeden Litzenberger

  • Fokker Planck Equation

  • Local Volatility

  • Barrier Options

  • Reflection Principle

  • Ornstein Uhlenbeck


These key concepts form the basis for understanding mathematical option pricing.

Along with the lectures, there are 5 downloadable exercises with solutions provided which are designed to check and reinforce your understanding.

The instructor

I am Thomas Dacourt and I am currently working as a senior quantitative analyst for a prestigious investment bank in London. I have held various quant positions in equity, commodities and credit in London over the last 10 years. I have studied mathematics and applied mathematics in France and financial engineering in London.

YOU WILL ALSO GET:

  1. Lifetime Access

  2. Q&A section with support

  3. Certificate of completion

  4. 30-day money-back guarantee

What You Will Learn!

  • Black Scholes Assumptions
  • Risk Neutral Probability
  • Derive the Price of a Call or Put Option
  • Vanilla Markets and the Volatility
  • Derive the Stock Process and Calculate the Forward
  • Black Scholes Equation
  • Derive the Local Volatility
  • Price a Barrier Option
  • Reflection Principle
  • Derive the Ornstein Uhlenbeck Process

Who Should Attend!

  • Math students with stochastic calculus knowledge
  • Professionals in the banking industry
  • Professionals in the insurance industry
  • Students and professionals planning to study mathematical finance