# Mathematics, Pricing, Market Risk Management and Trading Strategies for Financial Derivatives (1/3)

- Institution: CERN
- Department: Academic Training Lecture Regular Programme,2009-2010
- Taught by: Bryan Lynn, Brian Coffey
- Year: 2009
- Level: Graduate
- Language: English
- Subjects: Mathematics, Economics, Business and management
- Source: [CERN](https://videos.cern.ch/record/3002307)
- Licence: [CERN](http://copyright.web.cern.ch)
- Who can watch: Tweens profiles and older (sources give no ratings; placed by Invisible Network from the source's own words)

Abstract: An introduction to the mathematics and practicalities of market trading and risk management for financial derivatives, the course will focus on examples from the short-term and long term Foreign Exchange (FX) and Interest Rate (IR) derivatives markets. Topics: - Government Bonds and IR Curves - Stochastic FX, Black-Scholes Vanilla FX Options and Martingales - Risk Management and Market Trading for Vanilla FX Options, Market Implied Volatility, Valuation and Risk Management, Market Trading Strategies - Stochastic IR Curves and Implied Volatility, IR Derivatives - Long Term FX Options: Interaction of Stochastic FX and Stochastic IR

Vanilla Foreign Exchange (FX) Options - $ Government Bonds, Interest Rate (IR) Curves, Continuous IR - Domestic ($) and Foreign (Yen) Government Bonds, IR curves - Stochastic Spot FX, Forward FX: Ito processes for $ and Yen Investors - Black-Scholes Vanilla FX Options, Connection to Heat/Diffusion Equation - Stochastic Differential Equations with Martingales.

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0:07:24 Slide 2

0:14:48 Slide 3

0:29:35 Slide 4

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0:59:09 Slide 6

1:13:56 Slide 7

1:28:43 Slide 8

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1:58:17 Slide 10

2:13:04 Slide 11

## Lectures

1. [Mathematics, Pricing, Market Risk Management and Trading Strategies for Financial Derivatives (1/3)](https://invisiblenetwork.ai/learn/cern/3002307/61006bc76dbc), 2 h 28 min (CERN's player)