# Financial Derivatives A Quantitative Finance View

The financial engineering of forwards, futures, swaps, and options, with Python tools for fixed income and options 4.6/5

## Financial Derivatives A Quantitative Finance View

### What you’ll learn

Learn the fundamentals of derivatives at a quantitative level
Master arbitrage, the core principle underlying derivatives, quantitative risk management and quantitative trading
Use derivatives to control and manage financial risk
Price forwards, futures, swaps and options
Understand the Black-Scholes theory and formula intuitively, avoiding stochastic calculus
Learn the limitations of the Black-Scholes theory, and how it is used in practice
Python based tools are provided for computations with bonds, yield curves, and options ### Requirements

Calculus and a basic course in probability and statistics
No knowledge or background in finance is assumed

### Overview

Section 1: Introduction

Lecture 1 Introduction

Section 2: Fundamentals

Lecture 2 Interest Rates

Lecture 3 Interest Rates: General Considerations

Lecture 4 Interest Rates and Future Values

Lecture 5 Compounding Conventions

Lecture 6 Investment Return Measures

Lecture 7 Interest Rate Conversions

Lecture 8 Continuous Compounding

Lecture 9 The Time Value of Money

Lecture 10 Present Value

Lecture 11 Discount Factors

Lecture 12 Discounted Cash Flow Analysis

Lecture 13 Bonds and Discounted Cash Flow Analysis

Lecture 14 Yield to Maturity

Lecture 15 Python Tools: Bonds

Lecture 16 Simple Interest and Day Count Conventions

Lecture 17 LIBOR

Lecture 18 Fed Funds Rate

Lecture 19 SONIA: The Sterling Overnight Index Average

Lecture 20 SOFR: The Secured Overnight Financing Rate

Lecture 21 Yield Curves and Discount Curves

Lecture 22 Python Tools: Yield Curves I

Lecture 23 Bootstrapping Spot Curves from Bonds

Lecture 24 Bootstrapping Spot Curves from Bonds II

Lecture 25 Python Tools: Yield Curves II

Lecture 26 Interest Rates: Default Assumptions

Lecture 27 Equity Assets: Stock

Lecture 28 Commodities

Lecture 29 Modelling Portfolios

Lecture 30 Foreign Currencies

Lecture 31 Dividends, Convenience Yields, and Storage

Lecture 32 Long and Short Positions

Lecture 33 Long/Short Example

Section 3: Arbitrage

Lecture 34 The Arbitrage Concept

Lecture 35 Arbitrage: Formal Definition

Lecture 36 Arbitrage Example #1

Lecture 37 Arbitrage Example #2

Lecture 38 The Law of One Price

Lecture 39 Law of One Price: Extensions and Examples

Lecture 40 Arbitrage and Discounted Cash Flow Analysis

Section 4: Forwards, Futures, and Swaps

Lecture 41 Derivatives

Lecture 42 Derivative Markets

Lecture 43 Forward Contracts

Lecture 44 Forward Payoffs

Lecture 45 Pricing Forward Contracts

Lecture 46 The Cash and Carry Arbitrage

Lecture 47 Forward Example: A Zero Coupon Bond

Lecture 48 Forward Example: A Stock (No Dividends)

Lecture 49 Forwards on Assets Paying a Known Income

Lecture 50 Forward Valuation with Known Income

Lecture 51 Forwards on Assets Paying a Known Yield

Lecture 52 Forward Example: A Dividend Paying Stock

Lecture 53 FX Forwards

Lecture 54 FX Forward Examples

Lecture 55 Futures Contracts

Lecture 56 Futures Prices

Lecture 57 Futures Marking to Market

Lecture 58 Futures: Margin Accounts

Lecture 59 Futures Prices and Spot Prices

Lecture 60 Convergence of Futures Prices to Spot Prices

Lecture 61 Futures Contracts and Cash Exposures

Lecture 62 Futures Hedging

Lecture 63 Futures Hedging Example #1

Lecture 64 Futures Hedging and Basis Risk

Lecture 65 Futures Hedging Example #2

Lecture 66 Futures Hedging Example #3

Lecture 67 Speculation and Leverage with Futures

Lecture 68 A Futures Speculating Example

Lecture 69 The LIBOR Spot Curve

Lecture 70 Forward Interest Rates

Lecture 71 Forward Rate Agreements

Lecture 72 FRA Valuation

Lecture 73 Eurodollar Futures

Lecture 74 Swaps

Lecture 75 Pricing Swaps

Lecture 76 Swap Example #1

Lecture 77 Swap Example #2

Lecture 78 Building a LIBOR Curve: Overview

Lecture 79 Building a LIBOR Curve: the Short End

Lecture 80 Building a LIBOR Curve: the Midrange

Lecture 81 Building a LIBOR Curve: the Long End

Lecture 82 Python Tools: Yield Curves III

Section 5: Stochastic Processes and Asset Prices

Lecture 83 Stochastic Processes: The Fundamental Idea

Lecture 84 Stochastic Processes: Formalities

Lecture 85 Time Series Statistics

Lecture 86 Fat-Tailed Distributions

Lecture 87 Asset Return Measures

Lecture 88 The Stylized Facts of Asset Prices

Lecture 89 Volatility Clustering

Lecture 90 Asset Return Autocorrelation

Lecture 91 Fat Tails of Asset Returns

Lecture 92 Random Walks

Lecture 93 The Distribution of Random Walks

Lecture 94 Random Walks as Models for Asset Prices

Lecture 95 Random Walks and Efficient Markets

Lecture 96 Brownian Motion

Lecture 97 Brownian Motion with Drift

Lecture 98 Brownian Motion and Asset Prices

Lecture 99 The Log-Normal Model

Lecture 100 The Log-Normal Model and Asset Prices

Section 6: Options

Lecture 101 Options

Lecture 102 Option Payoffs

Lecture 103 Arbitrage Bounds on Options: Geometry

Lecture 104 Arbitrage Bounds on Option Prices

Lecture 105 Arbitrage Inequality #1

Lecture 106 Arbitrage Inequality #3

Lecture 107 Extensions and Applications of Option Bounds

Lecture 108 Bounds on American Options

Lecture 109 The Geometry of Put-Call Parity

Lecture 110 Put-Call Parity

Lecture 111 The Binomial Model: 1 Step

Lecture 112 The 1 Step Binomial Model: The General Case

Lecture 113 1 Step Risk Neutral Pricing

Lecture 114 A 1 Step Risk Neutral Pricing Example

Lecture 115 The Binomial Model: 2 Steps

Lecture 116 The Distribution in the 2 Step Binomial Model

Lecture 117 The Full Binomial Model

Lecture 118 Call Pricing in the Binomial Model

Lecture 119 Binomial Approximation to a Log-Normal

Lecture 120 The Black-Scholes Formula

Lecture 121 Flaws of the Black-Scholes Theory

Lecture 122 The Black-Scholes Theory in Practice

Lecture 123 Option Greeks

Lecture 124 Option Theta and Time Decay

Lecture 125 Python Tools: Options

Lecture 126 Dynamic Hedging and Delta Neutral Trading

Lecture 127 Options and Volatility Trading

Lecture 128 Implied Volatility

Technical professionals who want to learn about quantitative finance,Finance professionals who want to improve their quantitative skills and learn how to analyze derivative products

#### Course Information:

Udemy | English | 27h 15m | 6.08 GB
Created by: Cameron Connell

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