4.33 out of 5
4.33
897 reviews on Udemy

Quantitative Finance & Algorithmic Trading in Python

Stock Market, Bonds, Markowitz-Portfolio Theory, CAPM, Black-Scholes Model, Value at Risk and Monte-Carlo Simulations
Instructor:
Holczer Balazs
7,169 students enrolled
English [Auto] More
Understand stock market fundamentals
Understand bonds and bond pricing
Understand the Modern Portfolio Theory and Markowitz model
Understand the Capital Asset Pricing Model (CAPM)
Understand derivatives (futures and options)
Understand credit derivatives (credit default swaps)
Understand stochastic processes and the famous Black-Scholes model
Understand Monte-Carlo simulations
Understand Value-at-Risk (VaR)
Understand CDOs and the financial crisis
Understand interest rate models (Vasicek model)

This course is about the fundamental basics of financial engineering. First of all you will learn about stocks, bonds and other derivatives. The main reason of this course is to get a better understanding of mathematical models concerning the finance in the main.

First of all we have to consider bonds and bond pricing. Markowitz-model is the second step. Then Capital Asset Pricing Model (CAPM). One of the most elegant scientific discoveries in the 20th century is the Black-Scholes model and how to eliminate risk with hedging.

IMPORTANT: only take this course, if you are interested in statistics and mathematics !!!

Section 1 – Introduction

  • installing Python

  • why to use Python programming language

  • the problem with financial models and historical data

Section 2 – Stock Market Basics

  • present value and future value of money

  • stocks and shares

  • commodities and the FOREX

  • what are short and long positions?

Section 3 – Bond Theory and Implementation

  • what are bonds

  • yields and yield to maturity

  • Macaulay duration

  • bond pricing theory and implementation

Section 4 – Modern Portfolio Theory (Markowitz Model)

  • what is diverzification in finance?

  • mean and variance

  • efficient frontier and the Sharpe ratio

  • capital allocation line (CAL)

Section 5 – Capital Asset Pricing Model (CAPM)

  • systematic and unsystematic risks

  • beta and alpha parameters

  • linear regression and market risk

  • why market risk is the only relevant risk?

Section 6 – Derivatives Basics

  • derivatives basics

  • options (put and call options)

  • forward and future contracts

  • credit default swaps (CDS)

  • interest rate swaps

Section 7 – Random Behavior in Finance

  • random behavior

  • Wiener processes

  • stochastic calculus and Ito’s lemma

  • brownian motion theory and implementation

Section 8 – Black-Scholes Model

  • Black-Scholes model theory and implementation

  • Monte-Carlo simulations for option pricing

  • the greeks

Section 9 – Value-at-Risk (VaR)

  • what is value at risk (VaR)

  • Monte-Carlo simulation to calculate risks

Section 10 – Collateralized Debt Obligation (CDO)

  • what are CDOs?

  • the financial crisis in 2008

Section 11 – Interest Rate Models

  • mean reverting stochastic processes

  • the Ornstein-Uhlenbeck process

  • the Vasicek model

  • using Monte-Carlo simulation to price bonds

Section 12 – Value Investing

  • long term investing

  • efficient market hypothesis

APPENDIX – PYTHON CRASH COURSE

  • basics – variables, strings, loops and logical operators

  • functions

  • data structures in Python (lists, arrays, tuples and dictionaries)

  • object oriented programming (OOP)

  • NumPy

Thanks for joining my course, let’s get started!

Introduction

1
Introduction
2
Why to use Python
3
Financial models

Environment Setup

1
Installing PyCharm and Python on Windows
2
Installing PyCharm and Python on Mac

Stock Market Basics

1
Present value and future value of money
2
Time value of money implementation
3
Stocks and shares
4
Commodities
5
Currencies and the FOREX
6
Short and long positions
7
Stock Markets Basics

Bonds Theory

1
What are bonds?
2
Yields and yield to maturity
3
Interest rates and bonds
4
Macaulay duration
5
Risks with bonds
6
Stocks and bonds
7
Bonds Quiz

Bonds Implementation

1
Bonds pricing implementation I
2
Bonds pricing implementation II
3
Exercise - continuous model for discounting
4
Solution - continuous model for discounting

Modern Portfolio Theory (Markowitz-Model)

1
What are mean, variance and correlation?
2
The main idea - diverzification
3
Mathematical formulation
4
Expected return of the portfolio
5
Expected variance (risk) of the portfolio
6
Efficient frontier
7
Sharpe ratio
8
Capital allocation line
9
Markowitz Model Quiz

Markowitz-Model Implementation

1
Markowitz model implementation I
2
Markowitz model implementation II
3
Markowitz model implementation III
4
Markowitz model implementation IV
5
Markowitz model implementation V

Capital Asset Pricing Model (CAPM) Theory

1
Systematic and unsystematic risk
2
Capital asset pricing model formula
3
The beta value
4
Capital asset pricing model and linear regression
5
What is linear regression?
6
Capital Asset Pricing Model Quiz

Capital Asset Pricing Model (CAPM) Implementation

1
Capital asset pricing model implementation I
2
Capital asset pricing model implementation II
3
Capital asset pricing model implementation III
4
Exercise - normal distribution of returns
5
Solution - normal distribution of returns

Derivatives Basics

1
Introduction to derivatives
2
Forward and future contracts
3
Swaps and interest rate swaps
4
Options basics
5
Call option
6
Put option
7
American and european options
8
Derivatives Basics Quiz

Random Behavior in Finance

1
Types of analysis
2
Random behavior of returns
3
Wiener-processes and random walks
4
Wiener-process implementation
5
Stochastic calculus introduction
6
Ito's lemma in higher dimensions
7
Solving the geometric random walk equation
8
Geometric brownian motion implementation
9
Random Behaviour Quiz

Black-Scholes Model

1
Black-Scholes model introduction - the portfolio
2
Black-Scholes model introduction - dynamic delta hedge
3
Black-Scholes model introduction - no arbitrage principle
4
Solution to Black-Scholes equation
5
The greeks
6
How to make money with Black-Scholes model?
7
Long Term Capital Management (LTCM)
8
Black-Scholes Model Quiz

Black-Scholes Model Implementation

1
Black-Scholes model implementation
2
What is Monte-Carlo simulation?
3
Predicting stock prices with Monte-Carlo simulation
4
Black-Scholes model implementation with Monte-Carlo simulation I
5
Black-Scholes model implementation with Monte-Carlo simulation II
6
Black-Scholes model implementation with Monte-Carlo simulation III

Value at Risk (VaR)

1
What is Value-at-Risk?
2
Value-at-Risk introduction
3
Value at risk implementation
4
Value at risk implementation with Monte-Carlo simulation
5
Value at Risk Quiz

Collateralized Debt Obligations (CDOs) and the Financial Crisis

1
What are CDOs?
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Quantitative Finance & Algorithmic Trading in Python
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