|
所在平台: Coursera |
课程主页: https://www.coursera.org/learn/pricing-options-with-mathematical-models
课程评论：没有评论
课程名称：使用数学模型定价期权 课程概述：本课程是关于期权和其他金融衍生品及其在风险管理中的应用的介绍性课程。我们将首先定义衍生品和期权，然后继续探讨离散时间的二项树模型，接着发展连续时间的布朗运动模型。课程还将简单介绍随机过程和伊藤微积分。标准模型将是Black-Scholes-Merton定价模型，但我们也将讨论更一般的模型，如随机波动率模型。我们将讲解偏微分方程方法和概率论、鞅的方法。还会介绍利率建模和固定收益衍生品的相关内容。 课程将具有一定挑战性，成功完成课程将使您全面理解标准的期权定价模型，并能使您进一步自学该主题。 先修条件：学生须具备基础的微积分概率/统计知识。对随机过程和偏微分方程的接触会有所帮助，但并非强制要求。建议您在第0单元参加先修测试，以评估自己的数学基础是否足够完成课程。如果测试得分低于70%，建议您在参加此课程之前进一步提高数学技能，或者仅选修部分内容。 课程大纲： - 单元0：预课程 描述：由于这是一个量化课程，学生需要具备一定的数学背景才能掌握课程内容。本单元邀请您参加先修评估。 - 单元1：股票、债券、衍生品 - 单元2：利率、远期利率、债券收益率 - 单元3：无套利定价关系 - 单元4：离散时间模型中的定价 - 单元5：布朗运动与伊藤微积分 - 单元6：Black-Scholes-Merton模型中的定价 - 单元7：Black-Scholes-Merton模型的扩展 - 单元8：对冲 - 单元9：超越Black-Scholes-Merton - 单元10：固定收益市场中的定价 - 期末考试（尝试次数有限） 此课程提供了在金融衍生品定价方面的坚实基础，助您在该领域进一步深入学习。
Name:Unit 0: Pre-course
Description:Since this is a quantitative course, a certain level of mathematical background is necessary for a student to master the course material. In this unit, I would like to invite you to take the prerequisites assessment.
Name:Unit 1. Stocks, Bonds, Derivatives
Description:
Name:Unit 2. Interest Rates, Forward Rates, Bond Yields
Description:
Name:Unit 3. No-Arbitrage Pricing Relations
Description:
Name:Unit 4: Pricing in Discrete Time Models
Description:
Name:Unit 5. Brownian Motion and Ito Calculus
Description:
Name:Unit 6. Pricing in Black-Scholes-Merton model
Description:
Name:Unit 7. Extensions of Black-Scholes-Merton
Description:
Name:Unit 8. Hedging
Description:
Name:Unit 9. Beyond Black-Scholes-Merton
Description:
Name:Unit 10. Pricing in Fixed Income Markets
Description:
Name:Final Exam (number of attempts is limited)
Description:
This is an introductory course on options and other financial derivatives, and their applications to risk management. We will start with defining derivatives and options, continue with discrete-time, binomial tree models, and then develop continuous-time, Brownian Motion models. A basic introduction to Stochastic, Ito Calculus will be given. The benchmark model will be the Black-Scholes-Merton pricing model, but we will also discuss more general models, such as stochastic volatility models. We will discuss both the Partial Differential Equations approach, and the probabilistic, martingale approach. We will also cover an introduction to modeling of interest rates and fixed income derivatives. I teach the same class at Caltech, as an advanced undergraduate class. This means that the class may be challenging, and demand serious effort. On the other hand, successful completion of the class will provide you with a full understanding of the standard option pricing models, and will enable you to study the subject further on your own, or otherwise. Prerequisites. A basic knowledge of calculus based probability/statistics. Some exposure to stochastic processes and partial differential equations is helpful, but not mandatory. It is strongly recommended you take the prerequisites test available in Unit 0, to see if your mathematical background is strong enough for successfully completing the course. If you get less than 70% on the test, it may be more useful to work further on your math skills before taking this course. Or you can just do a part of the course.
