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Sarthak Bagaria

Notes on Derivative Pricing

Personal notes on stochastic calculus and the theory of derivative pricing, written up from my time as a quantitative strategist. Each chapter reads in the browser, or downloads as a PDF.

  1. 1Brownian MotionIn these notes we cover the basics of Brownian motion and Ito’s Calculus.PDF
  2. 2No-Arbitrage PricingIn these notes we try to explain what arbitrage is and how to price financial derivates in order to avoid arbitrage.PDF
  3. 3Black ScholesIn these notes we price an option contract using the no-arbitrage pricing theory.PDF
  4. 4NumerairesIn these notes we introduce numeraires and theorems related to change of numeraires along with their applications.PDF
  5. 5Fixed IncomeIn these notes we study some of the simple interest rate models for pricing of fixed income instruments. We will consider single curve framework i.e. there is only one interest rate in the market.PDF

References

  1. 1Hull, John C. Options, Futures, and Other Derivatives, EBook, Global Edition. Pearson, 2021.
  2. 2Shreve, Steven E. Stochastic calculus for finance II: Continuous-time models. Vol. 11. New York: springer, 2004.
  3. 3Henry-Labordere, Pierre. Analysis, geometry, and modeling in finance: Advanced methods in option pricing. CRC Press, 2008.