Introduction to Quantitative Finance using Python
Eight chapters and 102 pages, ranging from the general principles to implementing well-known pricing techniques
Developed by experts at IMC Trading and Cambridge Spark
In depth tutorials, fully explained with diagrams and equations
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 Trading, 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)
- Observing prices
- Pricing Theory
- Analytical pricing: the Black-Scholes formula
- The binomial model
- Advanced Models
- Some Intuition on Risk Neutral Pricing
- Deriving the Black-Scholes formula for the European call
- Calibrating a binomial tree in spot space
- Calibration of the Binomial tree
- Calculating Moments of a Log Normal Distribution
- Some Financial Jargon
About IMC Trading
IMC Trading is among the world’s leading proprietary trading firms, and a market maker in securities listed on exchanges across the globe. Our cutting-edge technology drives everything we do. High performance algorithms, smart strategies and collaborative teams are the core of our business.
Today, IMC Trading is 500+ people working together to build software and trade financial products in our offices in Amsterdam, Chicago, and Sydney. What does this mean for you? The chance to join a multi-national, multi-cultural team of exceptional individuals, focused on making IMC the world’s best trading firm.