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Lecture
Are you an EPFL student looking for a semester project?
Work with us on data science and visualisation projects, and deploy your project as an app on top of Graph Search.
This lecture covers the Black-Scholes-Merton model for pricing derivatives, wealth dynamics, replication strategies, valuation partial differential equations, risk-neutral measures, the BSM formula, put-call parity, the Greeks (Delta, Gamma, Theta, Vega), market conventions, and dynamic hedging. It also discusses the relationship between the value of a portfolio and its greeks, hedging errors, engineering exposure, and (0, A)-hedging.