This course discusses topics in derivative pricing. The first module is designed to understand the Black-Scholes model and utilize it to derive Greeks, which measures the sensitivity of option value to variables such as underlying asset price, volatility, and time to maturity. Greeks are important in risk management and hedging and often used to measure portfolio value change. Then we will analyze risk management of derivatives portfolios from two perspectives—Greeks approach and scenario analysis. The second module reveals how option’s theoretical price links to real market price—by implied volatility. We will discuss pricing by volatility surface as well as explanations of volatility smile and skew, which are common in real markets. The third module involves topics in credit derivatives and structured products and focuses on Credit Debit Obligation (CDO), which played an important part in the past financial crisis starting from 2007. We will cover CDO’s definition, simple and synthetic versions of CDO, and CDO portfolios. The final module is the application of option pricing methodologies and takes natural gas and electricity related options as an example to introduce valuation methods such as dynamic programming in real options.
This course is part of the Financial Engineering and Risk Management Specialization
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Course 4 of 5 in the
Intermediate Level
Students should have taken intermediate to advanced undergraduate courses in probability and statistics, linear algebra, and calculus.
Approx. 16 hours to complete
English
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Try Coursera for BusinessSkills you will gain
- Implied Volatility
- Synthetic Collateralised Debt Obligation (CDO)
- Replicating Strategy
- Volatility Smile
- Computer Programming
Flexible deadlines
Reset deadlines in accordance to your schedule.
Shareable Certificate
Earn a Certificate upon completion
100% online
Start instantly and learn at your own schedule.
Course 4 of 5 in the
Intermediate Level
Students should have taken intermediate to advanced undergraduate courses in probability and statistics, linear algebra, and calculus.
Approx. 16 hours to complete
English
Could your company benefit from training employees on in-demand skills?
Try Coursera for BusinessOffered by
Syllabus - What you will learn from this course
1 hour to complete
Course Overview
1 hour to complete
3 readings
5 hours to complete
Equity Derivatives in Practice: Part I
5 hours to complete
11 videos (Total 111 min), 2 readings, 7 quizzes
2 hours to complete
Equity Derivatives in Practice: Part II
2 hours to complete
10 videos (Total 82 min), 1 reading, 3 quizzes
4 hours to complete
Review and Assignment for Equity Derivatives
4 hours to complete
1 reading
About the Financial Engineering and Risk Management Specialization

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