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Intuition-Based Options Primer for Financial Engineering

An Intuition-Based Options Primer for Financial Engineering

Model-independent relationships and arbitrage vs. Black-Scholes model

The course include topics directly relevant to quant job interviews (interview questions videos are included for multiple sections) as well as to graduate studies in financial engineering. It was created by Prof. Dan Stefanica, a best-selling author and educator in financial engineering, and reflects his experience fostering highly successful careers for the graduates of the Baruch MFE program for over 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 entry level positions interviews and for graduate studies; emphasis is placed on depth of understanding of options trading arbitrage and options valuation models.

Course Content – Highlights

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

Interview Questions – Highlights

  • Convexity arbitrage
  • Bull spreads, bear spreads, butterfly spreads, straddles, strangles
  • Return enhancement strategies
  • Implementing market views using options strategies
  • Greeks and model-independent relationships
  • Time value of options
  • Greeks dependence on spot price, volatility, maturity
  • Implied volatility and options trading strategies

Sample Videos

Sample Interview Question Videos

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.

Time Frame: The certificate must be completed within 16 weeks.

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 16-week course consists of five 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.

Student Reviews

"I really liked this course. It bridges the gap between theory and practice. I learned a lot from the lectures and encountered plenty of interview questions related to the course content.""

"This course is of high quality. The exercises pushed me to truly understand the basics instead of learning by rote. The content is well-structured, and the knowledge it taught is fundamental and clear-cut."

"Overall great course! I have learned more about options and feel more confident in applying to graduate programs."

"What I liked most about this option course is its content. It covers a broad range of topics, starting from self-financing replicating portfolio, then risk neutral pricing, all the way to Black-Scholes. Mathematical expositions are very clear, finance concepts are well explained."