Introduction to quantitative finance

Receive news and tutorials straight to your mailbox:

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.

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


  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


  1. Some Intuition on Risk Neutral Pricing
  2. Deriving the Black-Scholes formula for the European call
  3. Calibrating a binomial tree in spot space
  4. Calibration of the Binomial tree
  5. Calculating Moments of a Log Normal Distribution
  6. Some Financial Jargon

Copyright Cambridge Spark