Introduction to quantitative finance

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In the world of finance, assets are bought and sold every second. In this course, you will learn the general principles behind the pricing of such financial assets and focus in particular on options – which form an important class of assets traded on exchanges. You will start with the general concept of arbitrage free pricing and see how it leads to the Black-Scholes formula. You will also learn and implement some well known numerical pricing techniques such as the binomial and trinomial tree model.

This course was developed in close partnership with IMC, a technology-driven trading firm with offices in Amsterdam, Chicago and Sydney. http://imc.com

Author:
Thibaut Lienart (Cambridge Spark)
Special thanks:
Dr. Heiko Schaefer (IMC)
Editor:
Raphaël Proust (Cambridge Spark)
Acknowledgements:
Sam Berry (UBS)
Maxime Lienart (BNY Mellon)
Dr. Alexander Vervuurt (OxAM)

Content

  1. Preliminaries
  2. Introduction
  3. Observing prices
  4. Pricing Theory
  5. Derivatives
  6. Analytical pricing: the Black-Scholes formula
  7. The binomial model
  8. Advanced Models

Appendix

  1. Development of the Black-Scholes formula
  2. Calibration of the Binomial tree

2016
Copyright Cambridge Spark