By the end of this course, students will be able to:
Use probabilistic techniques to predict stock movement volatility using historical data. Use volatility predictions to evaluate a portfolio's value at risk and to price European option contracts using Monte-Carlo methodology. Create accurate European option price predictions by enhancing Monte-Carlo simulations through the use of control variates. Accuracy will be measured against closed-form solutions to option contracts provided by Black-Scholes option pricing equations. Adjust Monte-Carlo simulations of European contracts for the purpose of pricing more complicated option contracts whose expected value does not have a closed form solutions. Such option contracts may include American, Asian, lookback, and barrier option contracts. Develop hedging strategies which minimize risk and improve expected profit distributions of an option investment strategy. Backtest a trading strategy using historical stock prices.

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By enrolling in this course you agree that in no event shall the Erdős Institute, its affiliates and their respective employees, agents, representatives and content providers or service providers be liable for damages of any kind, including, without limitation, direct, indirect, compensatory, special, incidental, punitive and consequential damages even if made aware of the possibility of such damages, whether in an action under contract, negligence or other theory, arising out of or in connection with the use, inability to use or performance of any course content, materials or services.