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學生對 哥伦比亚大学 提供的 Computational Methods in Pricing and Model Calibration 的評價和反饋
10 個評分
課程概述
This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will introduce different types of options in the market, followed by an in-depth discussion into numerical techniques helpful in pricing them, e.g. Fourier Transform (FT) and Fast Fourier Transform (FFT) methods. We will explain models like Black-Merton-Scholes (BMS), Heston, Variance Gamma (VG), which are central to understanding stock price evolution, through case studies and Python codes. The second module introduces concepts like bid-ask prices, implied volatility, and option surfaces, followed by a demonstration of model calibration for fitting market option prices using optimization routines like brute-force search, Nelder-Mead algorithm, and BFGS algorithm. The third module introduces interest rates and the financial products built around these instruments. We will bring in fundamental concepts like forward rates, spot rates, swap rates, and the term structure of interest rates, extending it further for creating, calibrating, and analyzing LIBOR and swap curves. We will also demonstrate the pricing of bonds, swaps, and other interest rate products through Python codes. The final module focuses on real-world model calibration techniques used by practitioners to estimate interest rate processes and derive prices of different financial products. We will illustrate several regression techniques used for interest rate model calibration and end the module by covering the Vasicek and CIR model for pricing fixed income instruments.
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1 - Computational Methods in Pricing and Model Calibration 的 4 個評論（共 4 個）
創建者 daniel h
•2022年10月5日
創建者 Kostya T
•2021年9月19日
創建者 Murray S
•2021年10月19日
創建者 J
•2022年2月3日
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