Intuition-Based Options Primer for Financial Engineering

An Intuition-Based Options Primer for Financial Engineering

Model-independent relationships vs. Black-Scholes model

The content of the online course was created by Prof. Dan Stefanica and is tailored to include topics, examples, and questions directly relevant to quant job interviews, as well as to graduate studies in financial engineering. It reflects the experience of Prof. Stefanica, a best-selling author and educator in financial engineering, who has been fostering highly successful careers for the graduates of the Baruch MFE program for 15 years.

Educational requirements: knowledge of calculus, and elementary knowledge of probability; programming knowledge not required, but useful.

Who will benefit: the course will prepare for interviews, both for entry level positions and for graduate studies; the emphasis will be on depth of understanding of the issues behind arbitrage opportunities and models for options valuation.

Course Content

  • Put-Call parity arbitrage with bid-ask spreads
  • Convexity arbitrage
  • The three variables underlying the Black-Scholes formulas: log moneyness, total standard deviation, present value of the forward price
  • Greeks dependence on spot price, volatility, maturity: Black-Scholes framework and intuition
  • Estimating dividend rates from market data using OLS
  • Black-Scholes PDE: derivation and heat PDE solution

About the Author: Dan Stefanica has been the Director of the Baruch MFE Program since its inception in 2002, and is the author of the best-selling books on financial engineering education and quant interview questions. He teaches graduate courses on numerical methods for financial engineering, as well as pre-program courses on advanced calculus and numerical linear algebra with financial applications. His research spans numerical analysis, graph theory, and geophysical fluid dynamics. He has a PhD in mathematics from New York University and taught previously at the Massachusetts Institute of Technology.

Tuition: $1,450

Course Highlights

One-on-One Support
Each student is assigned a personal Teaching Assistant who will provide timely personalized feedback on homework as well as provide guidance through course forum.

Community Support
A dedicated forum is available to discuss homework problems where fellow students and instructors are actively helping one another with questions.

Intuitive, Comprehensive Structure
This 12-week course consists of 6 levels where students build their cohesive knowledge upon previously mastered material. Access to each level is granted upon successful completion of the previous level's homework and quiz.

Student Support
Our graduates overwhelmingly recommend this course for its values, experience and services. If you are not happy for any reason, full tuition refund is granted upon request within 14 days of payment.

Exam and Certification

The final exam is proctored online by the TA via Skype. Upon successful completion of the course, we will issue a Certificate of Completion to students who pass the final exam and obtain a 70% or higher average. A Certificate of Completion with Distinction will be awarded to students with 90% or higher average.