Course · Intermediate - Options and Volatility Lab

Learning outcomes

• Apply the Black-Scholes model and understand its assumptions and limitations
• Simulate price paths with Monte Carlo to price simple products
• Solve the pricing equation with finite differences in basic cases
• Interpret a volatility surface and relate it to a derivative's price

This module assumes comfort with Python and with handling price series, acquired in the introductory module or through equivalent prior experience.

Who it's for

Anyone who already works with financial data in Python and wants to take the step toward quantitative pricing of derivative products and the associated risk management.

What the module covers

• Fundamentals of the Black-Scholes model and its Greeks
• Monte Carlo simulation applied to pricing simple options
• Introduction to numerical methods in differential equations for pricing
• Building and reading implied volatility surfaces

Format

Recorded sessions with step-by-step mathematical development and its direct translation into code, plus a set of pricing exercises on sample data.