Advanced Topics in Derivative Pricing

This course covers derivative pricing topics. The first module is intended to help students understand the Black-Scholes model and how to use it to calculate Greeks, which measure 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 they are frequently used to calculate portfolio value change. The risk management of derivatives portfolios will then be examined from two perspectives: the Greek approach and scenario analysis. The second module explains how implied volatility links the theoretical price of an option to the real market price.

They will go over volatility surface pricing as well as explanations of volatility smile and skew, which are common in real-world markets. The third module covers credit derivatives and structured products, with a focus on Credit Debit Obligation (CDO), which played a significant role in the previous financial crisis beginning in 2007. They will discuss the definition of a CDO, simple and synthetic CDOs, and CDO portfolios. The final module introduces valuation methods such as dynamic programming in real options by using natural gas and electricity related options as examples.

Duration: Around 4 hours
Format: Fully online, on-demand
Google rating: 4.7/5.0
Enroll here: coursera.org/learn/financial-engineering-advancedtopics