4.57 out of 5
4.57
954 reviews on Udemy

Financial Derivatives: A Quantitative Finance View

The financial engineering of forwards, futures, swaps, and options, with Python tools for fixed income and options
Instructor:
Cameron Connell
6,468 students enrolled
English [Auto]
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

Student Testimonials:

  • This course offers an unreal value. Very rich content! This beats any financial course I’ve taken at my university. Looking forward to completing this course and using some of these skills in my career.–Steven

  • Cameron is an outstanding teacher. Thank you very much for making the most important and difficult Finance concepts so easy to understand. Looking forward to the further courses.–Gevorg

  • I got (am getting) some intuition about quant finance, not just leaning facts without really understanding the concepts.

    Cameron gives nice detailed answers to students questions.–Rich

Interested in a lucrative and rewarding position in quantitative finance?  Are you a quantitative professional working in finance or a technical field and want to bridge the gap and become a full on quant?  Then read on.

The role of a quantitative analyst in an investment bank, hedge fund, or financial company is an attractive career option for many quantitatively skilled professionals working in finance or other fields like data science, technology or engineering.  If this describes you, what you need to move to the next level is a gateway to the quantitative finance knowledge required for this role that builds on the technical foundations you have already mastered.

This course is designed to be exactly such a gateway into the quant world.  If you succeed in this course you will become a master of quantitative finance and the financial engineering of the most influential class of financial products that exist on markets today: derivatives.

About the instructor:

This course was created by a mathematician and financial quant holding a Ph.D. from the Courant Institute of Mathematical Sciences at NYU, and who earned his quant chops on Wall Street after an accomplished career as a theoretical materials scientist.

The focus of the course is thus very much on the practical skills someone working in the trenches in the real world of finance needs to have.  But since the course author also has 10 years of college teaching experience, it is taught with an eye to sound course structure and sensitivity to the concerns of students.

What you will learn:

Many finance students and professionals find derivatives the most challenging subject in their field.  But if you have a background in quantitative fields like statistics or computer science this course will show you that these most daunting of financial products are completely accessible to you.

Even if you are completely new to the world of finance, after completing this course you will have a deep mastery of the fundamental derivative structures traded on markets today: forwards, futures, swaps, and options.  But since this course is presented by a practitioner you will also learn how derivatives are actually used in the real world, as tools for both speculation and risk management.

The world of finance and markets is fast-paced and exciting, but can also be very intimidating.  In the heat of the moment, the markets are volatile and unpredictable, positions go south in unanticipated ways, you have traders yelling at you, you have computer software failing, you’re relying on data you can’t trust.  Keeping your head above water in this environment can be well nigh impossible.

You need a conceptual framework that allows you to keep above the fray and keep your wits about you.  In this course, my primary purpose is to convey that conceptual framework to my students.  The same conceptual framework that allowed me to survive and thrive in the pits of Wall Street during the dark days of the financial crisis.

Concerned that you may not have the required background to succeed in this course?  As long as you meet the formal prerequisites you need not be.  A quantitatively strong business background is more than enough to meet these requirements.  Any decent course in statistics and the basics of calculus is enough.  In truth, high school mathematics is all that is needed for 80-90% of the course material.  The most important requirement is simply to think analytically and logically.

Here is a sampling of some of the main topics that we’ll cover on your journey into the quant profession:

  • Interest rate fundamentals

  • Periodic and continuous compounding

  • Discounted cash flow analysis

  • Bond analysis

  • The fundamentals of equity, currency, and commodity assets

  • Portfolio modelling

  • Long and short positions

  • The principle of arbitrage

  • The Law of One Price

  • Forwards, futures, and swaps

  • Risk management principles

  • Futures hedging

  • Stochastic processes

  • Time series concepts

  • The real statistics of asset prices: volatility clustering and autocorrelation

  • Fat-tailed distribution and their importance for financial assets

  • Brownian motion

  • The log-normal model of asset prices

  • Options

  • Put-call parity

  • The binomial model of option pricing

  • The Black-Scholes theory and formula

  • Option greeks: delta, gamma, and vega

  • Dynamic hedging

  • Volatility trading

  • Implied volatility

Includes Python tools

Python based tools are now included for computations with bonds, yield curves, and options.  All software that is part of this course is released under a permissive MIT license, so students are free to take these tools with them and use them in their future careers, include them in their own projects, whether open source or proprietary, anything you want!

So Sign Up Now!

Accelerate your finance career by taking this course, and advancing into quantitative finance.  With 23 hours of lectures and supplemental course materials including 10 problem sets and solutions, the course content is equivalent to a full semester college course, available for a fraction of that price, not to mention a 30 day money back guarantee.  You can’t go wrong!

Introduction

1
Introduction

Fundamentals

1
Interest Rates
2
Interest Rates: General Considerations
3
Interest Rates and Future Values
4
Compounding Conventions
5
Investment Return Measures
6
Interest Rate Conversions
7
Continuous Compounding
8
The Time Value of Money
9
Present Value
10
Discount Factors
11
Discounted Cash Flow Analysis
12
Bonds and Discounted Cash Flow Analysis
13
Yield to Maturity
14
Python Tools: Bonds
15
LIBOR
16
Fed Funds Rate
17
Yield Curves and Discount Curves
18
Python Tools: Yield Curves I
19
Bootstrapping Spot Curves from Bonds
20
Bootstrapping Spot Curves from Bonds II
21
Python Tools: Yield Curves II
22
Interest Rates: Default Assumptions
23
Equity Assets: Stock
24
Commodities
25
Modelling Portfolios
26
Foreign Currencies
27
Dividends, Convenience Yields, and Storage
28
Long and Short Positions
29
Long/Short Example

Arbitrage

1
The Arbitrage Concept
2
Arbitrage: Formal Definition
3
Arbitrage Example #1
4
Arbitrage Example #2
5
The Law of One Price
6
Law of One Price: Extensions and Examples
7
Arbitrage and Discounted Cash Flow Analysis

Forwards, Futures, and Swaps

1
Derivatives
2
Derivative Markets
3
Forward Contracts
4
Forward Payoffs
5
Pricing Forward Contracts
6
The Cash and Carry Arbitrage
7
Forward Example: A Zero Coupon Bond
8
Forward Example: A Stock (No Dividends)
9
Forwards on Assets Paying a Known Income
10
Forward Valuation with Known Income
11
Forwards on Assets Paying a Known Yield
12
Forward Example: A Dividend Paying Stock
13
FX Forwards
14
FX Forward Examples
15
Futures Contracts
16
Futures Prices
17
Futures Marking to Market
18
Futures: Margin Accounts
19
Futures Prices and Spot Prices
20
Convergence of Futures Prices to Spot Prices
21
Futures Contracts and Cash Exposures
22
Futures Hedging
23
Futures Hedging Example #1
24
Futures Hedging and Basis Risk
25
Futures Hedging Example #2
26
Futures Hedging Example #3
27
Speculation and Leverage with Futures
28
A Futures Speculating Example
29
The LIBOR Spot Curve
30
Forward Interest Rates
31
Forward Rate Agreements
32
FRA Valuation
33
Eurodollar Futures
34
Swaps
35
Pricing Swaps
36
Swap Example #1
37
Swap Example #2
38
Building a LIBOR Curve: Overview
39
Building a LIBOR Curve: the Short End
40
Building a LIBOR Curve: the Midrange
41
Building a LIBOR Curve: the Long End
42
Python Tools: Yield Curves III

Stochastic Processes and Asset Prices

1
Stochastic Processes: The Fundamental Idea
2
Stochastic Processes: Formalities
3
Time Series Statistics
4
Fat-Tailed Distributions
5
Asset Return Measures
6
The Stylized Facts of Asset Prices
7
Volatility Clustering
8
Asset Return Autocorrelation
9
Fat Tails of Asset Returns
10
Random Walks
11
The Distribution of Random Walks
12
Random Walks as Models for Asset Prices
13
Random Walks and Efficient Markets
14
Brownian Motion
15
Brownian Motion with Drift
16
Brownian Motion and Asset Prices
You can view and review the lecture materials indefinitely, like an on-demand channel.
Definitely! If you have an internet connection, courses on Udemy are available on any device at any time. If you don't have an internet connection, some instructors also let their students download course lectures. That's up to the instructor though, so make sure you get on their good side!
4.6
4.6 out of 5
954 Ratings

Detailed Rating

Stars 5
535
Stars 4
316
Stars 3
83
Stars 2
9
Stars 1
9
0824f9be0d6a79af8c05468ba5b645e1
30-Day Money-Back Guarantee

Includes

26 hours on-demand video
5 articles
Full lifetime access
Access on mobile and TV
Certificate of Completion