Derivatives Pricing – Learning Roadmap

A derivative product is a financial instrument whose value is determined completely by external variables. The external factor, or the underlying, could be anything but in general, is either a financial asset or an economic variable (such as interest rates).

Derivative instruments include forward and futures contracts, vanilla and exotic options, and swaps. These instruments may be priced or valued in a number of ways. Options, for example, may be valued using closed form solutions (like the Black-Scholes option pricing formula) or Monte Carlo Simulators or Binomial Trees.

What are the prerequisites?

Key concepts and terminology associated with Derivatives

As a first step in learning about Derivatives Pricing, we begin by familiarizing ourselves with the related terminology. The following courses will help you grasp and get comfortable with the key concepts behind the derivatives language.

What topics are covered?

Calculation tools for pricing derivatives

We start off by developing a better understanding of the Black Scholes equation before moving to pricing with Binomial trees and Monte Carlo Simulation. Pricing means determining the present value of the expected value of instrument on the valuation date. For this purpose, therefore, we also review interest rate modeling. These topics are covered in the following courses:

Derivative instruments I will learn to price

We then move on to pricing specific derivative instruments:

Premium Content:

PDF & EXCELOnline Courses
  1. Black Derman Toy Model Construction – EXCEL Example
  2. Calibration of CIR Model – EXCEL Example
  3. Constructing Volatility Surfaces in EXCEL
  4. Derivative Pricing – Binomial Trees EXCEL Example
  5. Derivatives Terminology Crash Course
  6. Derivative Products
  7. Derivative Pricing – Binomial Trees – Efficient Approach
  8. Delta Hedging and Greeks – EXCEL
  9. How to construct a Black Derman Toy Model in EXCEL
  10. How to utilize results of a Black Derman Toy Model
  11. How to utilize results of a Black Derman Toy Model – EXCEL Example
  12. Heath Jarrow Merton – HJM 3 – Factor Interest Rate Model
  13. Hedging Higher Order Greeks using EXCEL’s Solver – Package
  14. Interest Rate Simulation Crash Course
  15. Monte Carlo Simulation – Equity – Example 
  16. Monte Carlo Simulation – Commodity – Example
  17. Monte Carlo Simulation – Currency – Example
  18. Pricing IRS – Module I – Term Structures
  19. Pricing IRS – Module I – Term Structures EXCEL Example
  20. Pricing IRS – Module II – IRS and CCS
  21. Pricing IRS – Module II – IRS and CCS EXCEL Example
  22. Pricing Interest Rate Options – Module III
  23. Pricing Interest Rate Options – Module III EXCEL Example
  24. Pricing Ladder Options using a Monte Carlo Simulator
  25. Principal Component Analysis – PCA – US Treasury Yield Rates
  26. Valuing Options – Black Scholes Example
  27. Valuing Options – Binomial Tree – Traditional Approach – EXCEL Example
  28. Delta Hedging and Greeks