The mathematics that powers modern derivatives pricing, taught the way a trading desk uses it: as a toolkit for answering "what is this contract worth, and how do I hedge it?". We begin with Brownian...
Instructor: Prof. Lena Marchetti
The mathematics that powers modern derivatives pricing, taught the way a trading desk uses it: as a toolkit for answering "what is this contract worth, and how do I hedge it?".
We begin with Brownian motion and martingales, build Itô calculus from first principles, and then apply the machinery to the problems that actually appear in practice: pricing vanilla and barrier options, simulating exotic payoffs, and calibrating models to the market.
You will leave with more than formulas. Every major result is derived, then immediately turned into working NumPy/SciPy code you can adapt:
The course is rigorous but pragmatic: proofs are included where they build intuition, and skipped where they do not. It is designed for students who have met calculus and probability and want to see the subject the way a quant researcher actually uses it.
3 sections • 12 lectures • 1.8 hours total length
Lena is a mathematical finance researcher who spent eight years as a quant in derivatives research before returning to academia. Her published work focuses on volatility modelling and numerical methods for path-dependent options.
She is known for lectures that feel like supervised problem sessions: slow derivations, sharp intuition checks, and a running commentary on which steps matter for real pricing systems.
₹7,999
This course includes:
