Computational Methods in Pricing and Model Calibration
https://www.coursera.org/learn/financial-engineering-computationalmethods?specialization=financialengineering
This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will introduce different types of options in the market, followed by an in-depth discussion into numerical techniques helpful in pricing them, e.g. Fourier Transform (FT) and Fast Fourier Transform (FFT) methods. We will explain models like Black-Merton-Scholes (BMS), Heston, Variance Gamma (VG), which are central to understanding stock price evolution, through case studies and Python codes. The second module introduces concepts like bid-ask prices, implied volatility, and option surfaces, followed by a demonstration of model calibration for fitting market option prices using optimization routines like brute-force search, Nelder-Mead algorithm, and BFGS algorithm. The third module introduces interest rates and the financial products built around these instruments. We will bring in fundamental concepts like forward rates, spot rates, swap rates, and the ter
Categoria: Business
Subcategoria: Finance
Tipo de Curso: Course
Habilidades: Interest Rate,model calibration,product pricing,option,
Idioma: English
Subtitulos: English
Rating: 4.0stars
Vistas: 13
Sitio Web: Coursera
Duracion: Approx. 23 hours to complete
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