Advanced Topics in Derivative Pricing
https://www.coursera.org/learn/financial-engineering-advancedtopics?specialization=financialengineering
This course discusses topics in derivative pricing. The first module is designed to understand the Black-Scholes model and utilize it to derive Greeks, which measures 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 often used to measure portfolio value change. Then we will analyze risk management of derivatives portfolios from two perspectives—Greeks approach and scenario analysis. The second module reveals how option’s theoretical price links to real market price—by implied volatility. We will discuss pricing by volatility surface as well as explanations of volatility smile and skew, which are common in real markets. The third module involves topics in credit derivatives and structured products and focuses on Credit Debit Obligation (CDO), which played an important part in the past financial crisis starting from 2007. We will cover CDO’s definition, simple and synthet
Categoria: Business
Subcategoria: Finance
Tipo de Curso: Course
Habilidades: Implied Volatility,Synthetic Collateralised Debt Obligation (CDO),Replicating Strategy,Volatility Smile,Computer Programming,
Idioma: English
Subtitulos: English
Rating: 4.5stars
Vistas: 11
Sitio Web: Coursera
Duracion: Approx. 16 hours to complete
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