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Learner Reviews & Feedback for Pricing Options with Mathematical Models by Caltech

4.6
stars
28 ratings

About the Course

This is an introductory course on options and other financial derivatives, and their applications to risk management. We will start with defining derivatives and options, continue with discrete-time, binomial tree models, and then develop continuous-time, Brownian Motion models. A basic introduction to Stochastic, Ito Calculus will be given. The benchmark model will be the Black-Scholes-Merton pricing model, but we will also discuss more general models, such as stochastic volatility models. We will discuss both the Partial Differential Equations approach, and the probabilistic, martingale approach. We will also cover an introduction to modeling of interest rates and fixed income derivatives. I teach the same class at Caltech, as an advanced undergraduate class. This means that the class may be challenging, and demand serious effort. On the other hand, successful completion of the class will provide you with a full understanding of the standard option pricing models, and will enable you to study the subject further on your own, or otherwise. Prerequisites. A basic knowledge of calculus based probability/statistics. Some exposure to stochastic processes and partial differential equations is helpful, but not mandatory. It is strongly recommended you take the prerequisites test available in Unit 0, to see if your mathematical background is strong enough for successfully completing the course. If you get less than 70% on the test, it may be more useful to work further on your math skills before taking this course. Or you can just do a part of the course....

Top reviews

MC

Jan 26, 2024

Really good course. Explains the topics mathematically, but also relates to real-world applications. He also included historical examples on how formulas were invented and why market crashes happened.

AB

Jul 6, 2022

it was fantastic course with useful curriculum. Moreover, the problem sets were challenging and shed light on some dark issues. I really appriciate the professor Cvitanic as well!

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1 - 14 of 14 Reviews for Pricing Options with Mathematical Models

By Sergey M

•

Oct 18, 2021

While I knew most of materials of the course prior to taking it and it was relatively easy for me to pass all the assignments, I strongly recommend the course if you want to understand the main concepts of mathematical finance. It is very well balanced course, not overly difficult but not easy either. Optimal duration and size of the information for you to learn and understand. While, I barely used videos and mostly used slides, I find that Professor explains core concepts very nicely. This is one of the best courses I took on Coursera!

By Oliver T

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Jun 30, 2023

The course covers option pricing in discrete and continuous time models. The level of depth is engineering style: have an understanding and intuition of the concepts without mathematical rigor. There are some downsides however: The notes are not great with plenty of typos. The questions at the end of the section sometimes cover material barely (or not) covered and much of the material isn't covered at all in them. Sometimes they are hard to understand, needlessly convoluted and also contain typos. In the end I mostly ditched the course material, studied with Hull and then the did the exercises.

By Grim G a C

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Sep 11, 2023

Great learning process, great videos, and great notes, but really, really hard work,

By Alberto G

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Jun 24, 2024

As a mathematician, this course is deep in some topics of Itô Calculus. The concepts are not hard, but the teacher reads the slides and are too much text, the claims or results which needs to be outlined, usually are not remarked as it should be. In general, this course has a good focus but the way in which is taught is not the correct one. The teacher reads slides, results are not well cleared as well as "proofs". Exercises are not scarce but nor is well explain enough to follow up.

By Alireza B

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Jul 7, 2022

it was fantastic course with useful curriculum. Moreover, the problem sets were challenging and shed light on some dark issues. I really appriciate the professor Cvitanic as well!

By Aditya B

•

Nov 21, 2023

Great course! I just felt it went a bit too quickly towards the end, but its a great course nevertheless.

By Yi W

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Dec 21, 2021

nice course and nice professor. More examples, would be better.

By Gael H

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Jan 21, 2024

Great introductory course on option pricing, stochastic processes and other instruments used in mathematical finance. Prof. Cvitanic explains everything by providing a lot of details for carrying out calculations. That being said, the assignments are not easy, but have the right level of difficulty. In order to successfully complete them, my advice is to thoroughly derive every equation that was presented in the course. I now feel much more confident for further study of mathematical finance. Highly recommended, hvala vam Prof Cvitanic!

By 蔡景州

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Oct 14, 2023

The course makes difficult stochastic differential equations manageable for people not familiar with them. It builds a solid foundation for stochastic process / model and application on option pricing models like Black-Scholes-Merton model. Don’t get me wrong it is still quite demanding even with multiple choice problems – imagine if you were to figure out and write down the equations yourself to be fully capable.

By Mikkel C

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Jan 27, 2024

Really good course. Explains the topics mathematically, but also relates to real-world applications. He also included historical examples on how formulas were invented and why market crashes happened.

By Shrey R

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Oct 4, 2024

Really good foundational coverage of key option pricing concepts. Good additional industry knowledge + other relevant information such as implementation, history and context

By Peilin L

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Sep 14, 2024

highly informational on option pricing models and highly recommend

By Jilong C

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Oct 15, 2024

Great course! Detailed, step by step instructions!

By Zakariya B

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Oct 28, 2024

Great content