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Course Overview
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Equity Derivatives in Practice: Part I-Review of the Binomial Model and the Black-Scholes Model
Lesson Supplements
Review of the Binomial Model for Option Pricing
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The Black-Scholes Model
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Equity Derivatives in Practice: Part I-The Greeks
The Greeks: Delta
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The Greeks: Gamma
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The Greeks: Vega
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The Greeks: Theta
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Equity Derivatives in Practice: Part I-Risk Management of Derivatives Portfolios and Delta-Hedging
Risk-Management of Derivatives Portfolios: Greeks Approach
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Risk-Management of Derivatives Portfolios: Scenario Analysis
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Delta-Hedging
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Equity Derivatives in Practice: Part I-The Volatility Surface
Beyond Black-Scholes: Implied Volatility
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Beyond Black-Scholes: Volatility Surface
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Equity Derivatives in Practice: Part I-Review
Quiz Instructions
Equity Derivatives in Practice: Part II-The Volatility Surface in Action and Skew
Lesson Supplements
The Volatility Surface in Action
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Why is There a Skew?
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The Leverage Effect
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Equity Derivatives in Practice: Part II-The Volatility Surface and Pricing Derivatives
What the Volatility Surface Tells Us
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Deriving the Marginal Risk-Neutral Distribution Using Volatility Surface
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Pricing Derivatives Using the Volatility Surface
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Example: Digital Option Pricing
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Pricing a Range Accrual
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Beyond the Volatility Surface and Black-Scholes 1
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Beyond the Volatility Surface and Black-Scholes 2
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Review and Assignment for Equity Derivatives-Assignment
Introduction to Assignment
Credit Derivatives and Structured Products-CDOs and the Gaussian Copula Model
Lesson Supplements
Structured Credit: CDOs and Beyond
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The Gaussian Copula Model
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Computing the Portfolio Loss Distribution
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Credit Derivatives and Structured Products-A Simple Example
1-Period CDO Model: Part I
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1-Period CDO Model: Part II
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Observations from the 1-Period CDO Model
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Credit Derivatives and Structured Products-Understanding a CDO Tranche
The Mechanics of a “Synthetic” CDO Tranche
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Fair Value of Premium & Default Leg
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Fair Value of CDO Tranche
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Cash and Synthetic CDOs
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Credit Derivatives and Structured Products-CDO Portfolios
Pricing and Risk Management of CDO Portfolios
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Challenges in Risk Management of Structured Credit Portfolios
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A Brief Aside on Copulas
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CDO-Squared's and Beyond
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Credit Derivatives and Structured Products-Review
Quiz Instructions
Other Applications of Financial Engineering-Real Options
Lesson Supplements
Real Options
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Other Applications of Financial Engineering-Energy and Commodities Modeling
Valuation of Natural Gas and Electricity Related Options 1
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Valuation of Natural Gas and Electricity Related Options 2
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Real Options in Excel
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Other Applications of Financial Engineering-Review
Quiz Instructions