# Derivative Pricing – Topic Guide

The methodologies used to price a derivative security may vary from closed form solutions such as the Black-Scholes option pricing formula, to numerical methods such as the binomial trees and Monte Carlo simulation.

### Topics covered

- A Brief overview of relative pricing, risk neutral probabilities and the risk free rate
- Binomial option pricing basics
- An alternative method of implementing a two-dimensional binomial tree that allows the extension of a simple 3 step tree to a 50 – 100 step option pricing tree in a few minutes
- Pricing of the following options using this alternate methodology such as:
- European calls and put options
- American calls and put options
- Knock in and knock out (sudden death) options

### EXCEL files

The pre-packaged course also includes 3 EXCEL files covering the following concepts:

- The supporting excel file for the alternate binomial tree methodology for the products mentioned above
- Option pricing using the Traditional Binomial Tree approach
- Option pricing using the Black-Scholes option pricing formula

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- Self Study
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- Asset Liability Management – Learning Roadmap
- Basel II & Basel III Frameworks – Learning Roadmap
- Commodities – Learning Roadmap
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- Topic Guides
- Asset Liability Management (ALM) Crash Course – Topic Guide
- Basel & ICAAP – Topic Guide
- Black Derman Toy (BDT) Interest Rate Model – Topic Guide
- Calculating Value at Risk (VaR) – Topic Guide
- Credit Analysis & Credit Process – Topic Guide
- Derivative Pricing – Topic Guide
- Derivative Products – Topic Guide
- Forward Rates and Forward Prices – Topic Guide
- Heath Jarrow Merton (HJM) Interest Rate Model – Topic Guide
- Interest Rate Simulation Crash Course – Topic Guide
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- Pricing Interest Rate Swaps & Interest Rate Options – Topic Guide
- Setting Counterparty Limits – Topic Guide
- Treasury Crash Course – Topic Guide

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- Quant Crash Course – Course Outline
- Selling Derivatives Products – Course Outline
- Setting Value at Risk, Stop Loss, Pre Settlement and Counterparty Limits – Course Outline
- Stress Testing – Course Outline
- Understanding N(d1) and N(d2) – Course Outline
- Pitching for Startups – Course Outline

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