Financial Engineering Course: Lecture 2 part 2/3

Hello everyone,
Today, I would like to share Lecture no 2 part 2 (out of 3). We continue our process of building a strong base before we move to interest rate products, yield curve constructions and, finally, xVA/VaR computations. Enjoy the lecture!

In today’s lecture we will cover the following subjects:
– Option Pricing Using Conditional Expectation
– Convergence Experiment in Python
– Concept of Numeraire
– From P to Q in the Black-Scholes Model

Lecture slides and additional materials you can find in the link in the video’s description.

Lecture 1- Introduction and Overview of the Course
*** Lecture 2- Understanding of Filtrations and Measures
Lecture 3- The HJM Framework
Lecture 4- Yield Curve Dynamics under Short Rate
Lecture 5- Interest Rate Products
Lecture 6- Construction of Yield Curve and Multi-Curves
Lecture 7- Pricing of Swaptions and Negative Interest Rates
Lecture 8- Mortgages and Prepayments
Lecture 9- Hybrid Models and Stochastic Interest Rates
Lecture 10- Foreign Exchange (FX) and Inflation
Lecture 11- Market Models, Convexity Adjustments and Beyond
Lecture 12- Valuation Adjustments- xVA (CVA, BCVA and FVA)
Lecture 13- Historical VaR, SVaR and Expected Shortfall
Lecture 14- Summary of the Course