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Computational Finance

Course

by Lech Grzelak

Tags
derivativesfourier pricingmonte carloquantitative financestochastic models

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Build the foundations

Suggested foundations for options and derivatives pricing. Specialist prerequisites vary by resource.

Before you read

  1. The Binomial Model

    Build replication and risk-neutral probabilities in a tractable model.

  2. Market Model and Risk-Neutral Valuation

    Distinguish pricing probabilities from physical forecasts.

Go further

  1. The Black-Scholes PDE, Formula and Implied Volatility

    Connect the pricing equation, closed-form value and implied volatility.

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Lesson links open public previews. Access to full lessons depends on the topic and your membership.

Explore Derivatives Pricing and Computational Finance

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